22 Pages Posted: 21 Mar 2002
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.
JEL Classification: G11, C15
Suggested Citation: Suggested Citation
By Zvi Bodie