Portfolio Diversification: Alive and Well in Euroland!

18 Pages Posted: 14 Dec 2001

See all articles by Kpate Adjaoute

Kpate Adjaoute

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Jean-Pierre Danthine

University of Lausanne - Institute of Banking and Finance (IBF); Centre for Economic Policy Research (CEPR); Swiss Finance Institute

Date Written: November 2001

Abstract

Diversification opportunities in Euroland appear to have improved significantly since the advent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. We identify low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations. The most recent post-euro period is clearly associated with an important upswing with return dispersions exceeding for the first time their peaks of the early nineties.

Keywords: Portfolio diversification, return dispersion, euro

JEL Classification: F30, G11, G15

Suggested Citation

Adjaoute, Kpate and Danthine, Jean-Pierre, Portfolio Diversification: Alive and Well in Euroland! (November 2001). Available at SSRN: https://ssrn.com/abstract=293734

Kpate Adjaoute (Contact Author)

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )

Unil Dorigny, Batiment Internef
Lausanne, 1015
Switzerland
+41 21 729 4711 (Phone)
+41 21 729 4711 (Fax)

Jean-Pierre Danthine

University of Lausanne - Institute of Banking and Finance (IBF) ( email )

Lausanne, 1015
Switzerland
+41 21 692 3485 (Phone)
+41 21 692 3335 (Fax)

HOME PAGE: http://www.hec.unil.ch/jdanthine/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Swiss Finance Institute ( email )

c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

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