Add to ORKGAmong 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
Investors can reduce their overall portfolio risk by diversifying into equities from other markets. ...
Despite the liberalization of capital flows among OECD countries, equity home bias remains sizable. ...
We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Midd...
Among the stylized features of international equity markets is the pronounced asymmetric nonlinear d...
It is well documented that correlation between international equity indices has trended upward for ...
Using aggregate data on bilateral cross-border equity holdings, we investigate whether investors cor...
According to standard mean-variance analysis, international diversification should produce benefits ...
We analyze foreigners' and domestic institutional investors' holdings of U.S. equities and find comm...
This paper solves for optimal international portfolio choice in the presence of liquidity constraint...
This Paper solves for optimal international portfolio choice in the presence of liquidity constraint...
We examine whether portfolios of U.S. stocks can mimic foreign index returns thereby providing inves...
The file attached to this record is the author's final peer reviewed version. The Publisher's final ...
This paper empirically investigates the potential benefits of international diversification for the ...
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at...
This paper examines whether the widely reported phenomena of home and foreign biases (i.e. suboptima...
Investors can reduce their overall portfolio risk by diversifying into equities from other markets. ...
Despite the liberalization of capital flows among OECD countries, equity home bias remains sizable. ...
We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Midd...
Among the stylized features of international equity markets is the pronounced asymmetric nonlinear d...
It is well documented that correlation between international equity indices has trended upward for ...
Using aggregate data on bilateral cross-border equity holdings, we investigate whether investors cor...
According to standard mean-variance analysis, international diversification should produce benefits ...
We analyze foreigners' and domestic institutional investors' holdings of U.S. equities and find comm...
This paper solves for optimal international portfolio choice in the presence of liquidity constraint...
This Paper solves for optimal international portfolio choice in the presence of liquidity constraint...
We examine whether portfolios of U.S. stocks can mimic foreign index returns thereby providing inves...
The file attached to this record is the author's final peer reviewed version. The Publisher's final ...
This paper empirically investigates the potential benefits of international diversification for the ...
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at...
This paper examines whether the widely reported phenomena of home and foreign biases (i.e. suboptima...
Investors can reduce their overall portfolio risk by diversifying into equities from other markets. ...
Despite the liberalization of capital flows among OECD countries, equity home bias remains sizable. ...
We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Midd...