Monetary Policy and Banking Profits

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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Monetary Policy and Banking Profits

Cited by 4 publications

References 12 publications

Session Topic: Finance and Investment: Refereed Papers II

Session Topic: Finance and Investment: Refereed Papers II

Model simulations of the impact of selective credit policies and financial reforms

International equity diversification and shortfall risk

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