Coursework.Info - Inspiration in an Instant

On the left is an image preview of every page of this document, and below are the first 150 words with formatting removed:

Bachelor Thesis International Business Administration: The Quest for Optimal Asset Allocation Strategies in Integrating Europe Faarnaz Chavoushi Erasmus University Rotterdam May 2004 Abstract: This paper examines the effect of the process of monetary and economic integration in the EMU on the optimal diversification strategies for the mean-variance optimising investor. Previous literature has mostly focused on the relative importance of country versus sector effects for the explanation of stock returns, but following Ehling and Ramos (2002) and Moerman (2003), this paper takes a more practical approach to the question at hand. It aims to directly investigate the evolution of the optimal diversification strategy since the establishment of the EMU. The methodology is based on the portfolio theory first introduced by Markowitz (1952), as well as the mean-variance spanning test initiated by Hubermann and Kandel (1987). The paper finds that different diversification strategies have been optimal in the four different subsample periods specified, and that no clear...

Get instant access

• Instant, unlimited access to our documents in full
• Swap your work for free access, or pay £4.99
• To see the full version of this document and 150,117 others