Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25497
Authors: 
Campbell, Rachel A.
Kräussl, Roman
Year of Publication: 
2006
Series/Report no.: 
CFS Working Paper 2006/31
Abstract: 
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the international equity allocation for the downside risk investor using 9 international markets’ returns over the last 34 years. The results are stable for various robustness checks. Investors may think globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias phenomenon, documented in international financial markets.
Subjects: 
Asset Pricing
Home Bias
Downside Risk
Prospect Theory
JEL: 
G11
G12
G15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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