Gains from International Diversification: 1968–85 Returns on Portfolios of Stocks and Bonds
运用多期投资模型，基于简单概率评估方法分析国际证券，发现纳入非美国资产能带来显著收益，尤其对高度风险规避策略，且无杠杆约束的收益更大，同时存在市场分割证据。
ABSTRACT This paper applies the multi‐period investment model to a universe of international securities on the basis of the simple probability assessment approach. Our principal findings are: 1) the gains from including non‐U.S. asset categories in the universe were remarkably large (in some cases statistically significant), especially for the highly risk‐averse strategies, 2) the gains from removing the no leverage constraint were more substantial than they were in the absence of non‐U.S. securities, and 3) there is strong evidence of market segmentation in that the optimal levels of investment in U.S. securities were mostly zero in the presence of the non‐U.S. asset categories.