International Portfolio Choice: A Spanning Approach

Posted: 3 Apr 2003

See all articles by Ben Tims

Ben Tims

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Ronald Mahieu

Tilburg University - Center for Economic Research, Econometrics and Finance Group; TiasNimbas Business School

Date Written: January 27, 2003

Abstract

In this paper we analyze the impact of the investment horizon on international portfolio choice. We approach this issue by considering whether or not an investor should add investments from other countries to an existing portfolio. The statistical tests that we employ (spanning tests) are based on whether or not the investment space can significantly be expanded within a mean-variance framework. Our results indicate that for a U.S. based investor with a mean-variance utility function diversifying towards other countries and asset classes depends on the investment horizon. This holds especially for portfolios that originally consist of investments in bonds.

Keywords: international portfolio choice, spanning, mean-variance, horizon

Suggested Citation

Tims, Ben and Mahieu, Ronald J., International Portfolio Choice: A Spanning Approach (January 27, 2003). Available at SSRN: https://ssrn.com/abstract=374160 or http://dx.doi.org/10.2139/ssrn.374160

Ben Tims (Contact Author)

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) ( email )

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands

Ronald J. Mahieu

Tilburg University - Center for Economic Research, Econometrics and Finance Group ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 466 2430 (Phone)
+31 13 466 3280 (Fax)

HOME PAGE: http://center.uvt.nl/staff/mahieu/

TiasNimbas Business School ( email )

Warandelaan 2
Tilburg, North-Brabant 5071HS
Netherlands

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