Abstract

http://ssrn.com/abstract=302682
 
 

References (29)



 
 

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Long-Term Investing and International Diversification


Mattias Persson


Sveriges Riksbank



Abstract:     
The gains from international diversification are a well-established fact. In this study a non-parametric moving block bootstrap is used to investigate if investors with long investment horizons should tilt their portfolio weights towards the international stock markets. Through this approach we are able to study the impact of estimation risk on the optimal weights in the assets, and over the investment horizons. The analysis shows that the investors gain more from internationally diversified portfolios if the investment horizon is longer, that is, the weight in the international assets are significantly higher for long investment horizons compared to the one-year horizon.

Number of Pages in PDF File: 22

JEL Classification: G11, C15

working papers series


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Date posted: March 21, 2002  

Suggested Citation

Persson, Mattias, Long-Term Investing and International Diversification. Available at SSRN: http://ssrn.com/abstract=302682 or http://dx.doi.org/10.2139/ssrn.302682

Contact Information

Mattias Persson (Contact Author)
Sveriges Riksbank ( email )
Brunkebergstorg 11
SE- 103 37 Stockholm
Sweden
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References:  29
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