Année
2006
Abstract
This research addresseswhether geographic diversification provides benefits over industry diversification in
the Eurozone. Our contribution is to show that in the absence of constraints, no empirical evidence is found to
support the argument that geographic diversification dominates industry diversification, except in the euro
subperiod. With short-selling constraints, however, the tangency portfolio of geographic diversification is not
attainable by industry diversification. In out-of-sample geographic minimum variance portfolios outperform
industry portfolios in economic terms, although we cannot establish statistical significance.
RAMOS, S. et EHLING, P. (2006). Geographical versus Industrial Diversification: constraints matter. Journal of Empirical Finance, 4(5), pp. 396-416.