Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/152859 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
ECB Working Paper No. 425
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This research addresses whether geographic diversification provides benefits over industry diversification. In the absence of constraints, no empirical evidence is found to support the argument that country diversification is superior. With short-selling constraints, however, the geographic tangency portfolio is not attainable by industry portfolios. Results with upper and lower constraints on portfolio weights as well as an out-of-sample analysis show that geographic diversification almost consistently outperforms industry portfolios, although we cannot establish statistical significance.
Schlagwörter: 
block-bootstrap tests
Diversification gains
EMU
geographic diversification
industry diversification
JEL: 
G11
G15
Dokumentart: 
Working Paper

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