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Original Articles

Determinants of global portfolio composition

Pages 503-505 | Received 23 Jul 1996, Published online: 03 Sep 2008
 

Abstract

The efficient set is derived using unhedged returns of stock market indices of ‘Group of Seven’ countries. It is found that total risk is far more important than return in determining whether or not a stock market index is included in an optimal portfolio on the efficient set.

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