Theoretical and Applied Economics
No. 4 / 2017 (613), Winter
Economic value of portfolio diversification: Evidence from international multi-asset portfolios
Indian Institute of Management Udaipur, Balicha, Rajasthan, India
Abstract. We examine alternative approaches of measuring portfolio diversification, and test the empirical relation between diversification and the future risk-adjusted performance in a crosssection of international multi-asset portfolios. We use the Woerheide and Persson measure as a weight-based diversification measure, the conditional diversification measure as a risk-based diversification measure, and the effective number of bets (ENB) as a factor based diversification measure. We find that only the ENB measure is a significant predictor of the future Sharpe ratios. The economic gains of diversification, as measured by the ENB measure, are large and robust to the investor’s risk aversion and investment horizon.
Contents
The financial stability index – An insight into the financial and economic conditions of Romania
The strategy for reducing unemployment. Employment in the European Union
Economic value of portfolio diversification: Evidence from international multi-asset portfolios
Inflation convergence among the next eleven economies: Evidence from asymmetric nonlinear unit root test
Bitcoin as digital money: Its growth and future sustainability
Target P/E ratio determinants in the Turkish Stock Market: Earning volatility effect
Wavelets based multiscale analysis of select global equity returns
The cost to have a healthy population – The European Union's strategy
The relationship between oil and stock prices: The case of developing and developed countries
Macroeconomic determinants of income inequality in India and Pakistan
Urbanisation and inequalities in China and India. Overview and comparative study
Examination of the exchange rate and interest rate channels of the monetary transmission mechanism during the inflation targeting: Turkey and Mexico countries examples
Macroeconomic determinants of public debt growth: A case study for Tunisia
Dynamic regime switching behaviour between cash and futures market: A case of interest rates in India