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American Economic Review

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Опубликовано на портале: 18-08-2004
Kenneth R. French, James Michael Poterba American Economic Review. 1991.  Vol. 81. No. 2. P. 222-226. 
Since the fortunes of different nations do not always move together, investors can diversify their portfolios by holding assets in several countries. The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper we use a simple model of investor preferences and behavior to show that current portfolio patterns imply that investors in each nation expect returns in their domestic equity market to be several hundred basis points higher than returns in other markets. The lack of diversification appears to be result of investor choices, rather than institutional constraints.
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