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A SIMPLIFIED APPROACH TO SHORT‐TERM INTERNATIONAL DIVERSIFICATION
Author(s) -
Cotner John S.,
Seitz Neil E.
Publication year - 1987
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1987.tb00764.x
Subject(s) - diversification (marketing strategy) , currency , portfolio , interest rate , economics , term (time) , inflation (cosmology) , monetary economics , econometrics , foreign exchange risk , financial economics , business , physics , marketing , quantum mechanics , theoretical physics
Using Eurocurrency deposit interest rates, currency exchange rates, and inflation rates in a mean‐variance portfolio analysis, the authors develop portfolios of interest‐bearing deposits in London banks denominated in various currencies. These easily constructed multicurrency portfolios are shown to provide better risk‐return positions than comparable single currency holdings.