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How to diversify internationally? : A comparison of conditional and unconditional asset allocation methods

Barras, Laurent ; Isakov, Dušan

In: EFMA 2002 London meeting, 2003, p. 1-25

To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes the major international asset allocation methods based on mean-variance analysis that have been proposed...