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A Portfolio Diversification Index Analysis of the Home Bias

Abstract : This paper implements a parsimonious and practical methodology to examine the diversification potential of international equity portfolios. The analysis shows that the Portfolio Diversification Index (Rudin, A.M., and Morgan, J.S., Journal of Portfolio Management [2006]) efficiently replicates a number of stylized facts associated to home bias and local investors' preference for geographically proximate destinations over a sample of 8 developed countries.
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https://hal-upec-upem.archives-ouvertes.fr/hal-03642476
Contributor : Erkin Diyarbakirlioglu Connect in order to contact the contributor
Submitted on : Friday, April 15, 2022 - 10:17:13 AM
Last modification on : Thursday, May 19, 2022 - 4:00:19 PM

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  • HAL Id : hal-03642476, version 1

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Erkin Diyarbakirlioglu. A Portfolio Diversification Index Analysis of the Home Bias. Financial Management Association Applied Finance conference, May 2011, New York, United States. ⟨hal-03642476⟩

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