Browsing BI Open by Author "Hillion, Pierre"
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International portfolio diversification: currency, industry and country effects revisited
Eiling, Esther; Gerard, Bruno; Hillion, Pierre; Roon, Frans A. de (Journal article; Peer reviewed, 2012)We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. ...