American Institute of Mathematical Sciences

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October  2005, 1(4): 433-442. doi: 10.3934/jimo.2005.1.433

Empirical studies on internationally diversified investment using a stock-bond integrated model

Shusuke Komuro 1, and  Hiroshi Konno 1,

1. 

Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan, Japan

Received  February 2005 Revised  August 2005 Published  October 2005

This paper presents the result of extensive computational experiments on an internationally diversified investment model using a large number of individual stocks and bonds in a single stock-bond integrated mean risk framework. This model was proposed by one of the authors in 1997 and was shown to perform better than standard asset allocation strategy when the universe is the set of stocks and bonds of Japan and U.S. In this paper, we extend the universe to over 3500 assets consisting of stocks of 46 countries and bonds of 20 countries and compare the integrated approach with other well used methods. Computational experiments show that the integrated approach is superior to the traditional methods.
Keywords: Internationally diversified investment, stock-bond integrated model, asset allocation., mean-absolute deviation model.
Mathematics Subject Classification: 62P05, 90C05, 90C06, 91B2.
Citation: Shusuke Komuro, Hiroshi Konno. Empirical studies on internationally diversified investment using a stock-bond integrated model. Journal of Industrial & Management Optimization, 2005, 1 (4) : 433-442. doi: 10.3934/jimo.2005.1.433
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