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