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|Title:||International portfolio diversification: A factor analysis approach|
|Authors:||Hui, T.-K. |
|Source:||Hui, T.-K., Kwan, E.K. (1994). International portfolio diversification: A factor analysis approach. Omega 22 (3) : 263-267. ScholarBank@NUS Repository. https://doi.org/10.1016/0305-0483(94)90039-6|
|Abstract:||This paper investigates the systematic covariation in equity prices among US and Asia-Pacific countries during the 1980s by employing the statistical technique of factor analysis. Our results suggest that if US investors and portfolio managers were to select a large and well developed market for risk diversification, then USA, Taiwan and Japan would be appropriate. The final choice depends very much on the risk-return preference of individual investors.|
|Appears in Collections:||Staff Publications|
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