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How to diversify internationally ? A comparison of conditional and unconditional asset allocation methods

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Year 2001
Collection Cahiers de recherche; 2001.07
Abstract To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming from the lower correlation existing between assets of different countries. The question that we raise in this paper is how to choose the best mix of countries to diversify internationally ? We compare several methods of asset allocation from a Swiss perspective over the period 1988-2001. We simulate different investment policies and compare conditional and unconditional methods. We find that conditional methods, that explicitly assume time-variation in expected returns, outperform all other asset allocation methods.
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BARRAS, Laurent Richard, ISAKOV, Dusan. How to diversify internationally ? A comparison of conditional and unconditional asset allocation methods. 2001 https://archive-ouverte.unige.ch/unige:5840

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Deposited on : 2010-04-15

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