International equity diversification and shortfall risk

Authors

  • Kwok Ho Atkinson College, York University, North York, Ontario M3J 1P3, Canada
  • Moshe Arye Milevsky Schulich School of Business, York University, North York, Ontario M3J 1P3, Canada
  • Chris Robinson Schulich School of Business, York University, North York, Ontario M3J 1P3, Canada

DOI:

https://doi.org/10.1016/S1057-0810(99)00031-1

Keywords:

Asian options, Asset allocation, Shortfall risk, International diversification

Abstract

International equity diversification benefits Canadian investors very substantially by reducing shortfall risk, as shown by results of a model that minimizes the risk of shortfall from a desired consumption level for a retired investor with an unknown date of death and stochastic investment returns. It does not benefit American investors materially. The United States equity market is a large proportion of the international equity market that is available to individual investors, and United States returns are highly correlated with other markets. © 1999 Elsevier Science Inc. All rights reserved.

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Published

1999-03-30

How to Cite

Ho, K., Milevsky, M. A., & Robinson, C. (1999). International equity diversification and shortfall risk. Financial Services Review, 8(1), 11–25. https://doi.org/10.1016/S1057-0810(99)00031-1

Issue

Vol. 8 No. 1 (1999): Financial Services Review

Section

New Original Submission

License

Copyright (c) 1999 JAI Press Inc.

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