A Portfolio Diversification Index Analysis of the Home Bias

Erkin Diyarbakirlioglu (1)

1 IRG - Institut de Recherche en Gestion

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.

Mots clés: Portfolio diversification index; Home bias; Diversification

Domaines: Economies et finances

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⟩