We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
PORTFOLIO DIVERSIFICATION BENEFITS BETWEEN FINANCIAL MARKETS OF THE US AND CHINA: EMPIRICAL EVIDENCE FROM TWO ALTERNATIVE METHODS.
- Authors
HATEMI-J, ABDULNASSER; TAHA, VIYAN
- Abstract
This article investigates empirically whether or not there are benefits from international portfolio diversification between financial markets of the US and China. In addition to the seminal approach of Markowitz (1952) that yields the optimal budget shares for minimizing the risk, we also make use of the new approach developed by Hatemi-J and El-Khatib (2015) that provides the optimal weights by maximizing the risk adjusted return of the underlying portfolio. In both cases, it is found that the investors can reduce the unsystematic risk of their portfolio by international diversification with respect to these two largest financial markets in the world. The risk adjusted return of the portfolio that combines risk and return is higher compared to the risk adjusted return of the portfolio created by the standard approach. Furthermore, it is found that the highest budget share in the optimal portfolio belongs to the US market regardless of the estimation method.
- Subjects
CHINA; PORTFOLIO diversification; FINANCIAL markets; RISK sharing
- Publication
International Economics / Economia Internazionale, 2021, Vol 74, Issue 4, p537
- ISSN
0012-981X
- Publication type
Article