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diversification de portefeuille

Recherches Économiques de Louvain/ Louvain Economic Review (1)

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Why did French Savers buy Foreign Assets before 1914? A Decomposition of the Benefits from Diversification 1
David Le Bris
Journal:

Recherches Économiques de Louvain/ Louvain Economic Review / Volume 79 / Issue 3 / September 2013

Published online by Cambridge University Press:

09 January 2015, pp. 71-89

Print publication:

September 2013
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This paper examines the question as to whether, before 1914, French savers bought foreign assets to gain higher foreign returns or because of low correlation. Using tools of the Modern Portfolio Theory, the benefit from international diversification is decomposed into these two components, using a counterfactual hypothesis of perfect correlation between two assets. This approach allows an original measure of the respective share of the higher foreign returns and the low correlation in the benefit of diversification. The argument is put forward that French investors were mainly attracted by weak foreign correlation with domestic assets, rather than higher foreign returns.