Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25497 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
CFS Working Paper No. 2006/31
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Asset Pricing
Home Bias
Downside Risk
Prospect Theory
JEL: 
G11
G12
G15
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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