International portfolio diversification: analyzing efficient portfolios with various risk measures from a Dutch perspective
This paper investigates whether there are international portfolio diversification benefits from a Dutch perspective. To accomplish this, several domestic, regional (European) and international portfolio were created. These portfolios were analyzed using the Efficient Frontier Model of Markowitz as altered by Solnik (1974; 1993) in conjunction with several quantitative measures; EF index, Sharpe ratio, Sortino ratio and Treynor ratio. The analysis covers a sample period of 14 year (2002 – 2015) as well as sub-periods before and after the Global Financial Crisis. The results of this study are expected to show there are international diversification benefits for the Dutch investor.
Faculteit der Managementwetenschappen