文章基本信息

标题：International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches
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作者：Abid, Fathi ; Leung, Pui Lam ; Mroua, Mourad 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2014
卷号：7
期号：2
页码：45-66
出版社：MDPI, Open Access Journal
摘要：This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification strategy dominates the international diversification strategy at a lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage opportunity between international and domestic stock markets; domestically diversified portfolios with smaller risk dominate internationally diversified portfolios with larger risk and vice versa ; and at the same risk level, there is no difference between the domestically and internationally diversified portfolios. Nonetheless, we cannot find any domestically diversified portfolios that stochastically dominate all internationally diversified portfolios, but we find some internationally diversified portfolios with small risk that dominate all the domestically diversified portfolios.
关键词：international diversification; domestic diversification; mean-variance portfolio optimization; stochastic dominance