Testing of Performance: International Versus Domestic Portfolio

  • Christine Adi Njotosutikto Universitas Surabaya
  • Putu Anom Mahadwartha Universitas Surabaya
DOI: https://doi.org/10.24123/jeb.v1i2.2895
Abstract Views: 330 times
PDF Downloads: 341 times
Keywords: diversification of international portfolio, single index model, home bias

Abstract

This research investigates performance of portfolio with international portfolio and domestic portfolio. Buttler (2012) and Solnik (1974) explained that diversification of international portfolio will reduce risk of portfolio better than domestic portfolio. To measure performance of portfolio this research uses Treynor, Sharpe and Jensen Alpha. This research uses single index model to formed optimal international and domestic portfolio. Test showed that international portfolio have a better performance than domestic portfolio based on Treynor and Sharpe measurement. However, domestic portfolio have a better performance than international portfolio in higher return (Jensen measurement) and high risk.

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References

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Published
2020-08-19
How to Cite
Njotosutikto, C. A., & Mahadwartha, P. A. (2020). Testing of Performance: International Versus Domestic Portfolio. Journal of Entrepreneurship & Business, 1(2), 84-101. https://doi.org/10.24123/jeb.v1i2.2895
Issue
Vol. 1 No. 2 (2020): Journal of Entrepreneurship and Business (September)
Section
Articles
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