Exchange Risk Implications of International Portfolio Diversification

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This paper evaluates the systematic risk of foreign exchange by deriving efficient sets of international portfolios from six national viewpoints. The composition of these portfolios is examined and the effect of different exchange rate risks is discussed theoretically and tested empirically. The paper shows that in the context of international portfolios, exchange risk matters much less than would be expected.
Original languageEnglish
Pages (from-to)64-74
JournalJournal of International Business Studies
Issue number2
StatePublished - 1979


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