Reference : Where to Hide in Bad Times: Or Should One Still Diversify Internationally?
Scientific congresses, symposiums and conference proceedings : Unpublished conference
Business & economic sciences : Finance
Finance
http://hdl.handle.net/10993/31019
Where to Hide in Bad Times: Or Should One Still Diversify Internationally?
English
Stefanova, Denitsa mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Elkamhi, Redouane [University of Toronto - U of T]
2017
Yes
20th ANNUAL CONFERENCE OF THE SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH (SGF CONFERENCE 2017)
31-03-2017
Zurich
Switzerland
[en] Asset Allocation ; Dynamic Correlations ; Asymmetric Dependence
[en] Among the stylized features of international equity markets is the pronounced asymmetric nonlinear dependence and upward trend in correlations. Such features call into question investors' efforts to diversify internationally. We propose a model to capture those well understood characteristics of international equity index returns. Casting them in a dynamic portfolio problem, we evaluate the gains for a home-biased investor from including foreign assets in her portfolio. We find that accounting for the optimal dynamic demand for hedging on top of a standard mean-variance portfolio policy brings substantial benefits from international portfolio exposure. Such benefits become increasingly sizeable over long investment horizons.
http://hdl.handle.net/10993/31019
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2812623

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