{"id":"https://openalex.org/W1556488929","doi":"https://doi.org/10.3386/w0960","title":"International Portfolio Diversification: Short-Term Financial Assets and Gold","display_name":"International Portfolio Diversification: Short-Term Financial Assets and Gold","publication_year":1982,"publication_date":"1982-08-01","ids":{"openalex":"https://openalex.org/W1556488929","doi":"https://doi.org/10.3386/w0960","mag":"1556488929"},"language":"en","primary_location":{"id":"doi:10.3386/w0960","doi":"https://doi.org/10.3386/w0960","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w0960","pdf_url":"https://doi.org/10.3386/w0960","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"volume":null,"type":"report","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.3386/w0960","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5061744897","display_name":"Jorge Braga de Macedo","orcid":"https://orcid.org/0000-0001-5168-1510","observed_orcids":["https://orcid.org/0000-0001-5168-1510"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]},{"id":"https://openalex.org/I4210140326","display_name":"Centre for Economic Policy Research","ror":"https://ror.org/04jzmdh37","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I4210140326"]},{"id":"https://openalex.org/I83558840","display_name":"Universidade Nova de Lisboa","ror":"https://ror.org/02xankh89","country_code":"PT","type":"education","lineage":["https://openalex.org/I83558840"]}],"countries":["GB","PT","US"],"is_corresponding":false,"raw_author_name":"Jorge Braga de Macedo","raw_affiliation_strings":["Woodrow Wilson School Princeton University Princeton , NJ 08544","Centre for Economic Policy Research (CEPR)","National Bureau of Economic Research (NBER)","New University of Lisbon - Faculdade de Economia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Woodrow Wilson School Princeton University Princeton , NJ 08544","institution_ids":["https://openalex.org/I20089843"]},{"raw_affiliation_string":"Centre for Economic Policy Research (CEPR)","institution_ids":["https://openalex.org/I4210140326"]},{"raw_affiliation_string":"National Bureau of Economic Research (NBER)","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"New University of Lisbon - Faculdade de Economia","institution_ids":["https://openalex.org/I83558840"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Jeffrey Goldstein","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jeffrey Goldstein","raw_affiliation_strings":["Woodrow Wilson School Princeton University Princeton, NJ 08544"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Woodrow Wilson School Princeton University Princeton, NJ 08544","institution_ids":["https://openalex.org/I20089843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088819871","display_name":"David M. Meerschwam","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"David Meerschwam","raw_affiliation_strings":["Woodrow Wilson School Princeton University Princeton, NJ 08544"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Woodrow Wilson School Princeton University Princeton, NJ 08544","institution_ids":["https://openalex.org/I20089843"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":22,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"199","last_page":"238"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.6435999870300293,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.6435999870300293,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.15970000624656677,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.03669999912381172,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/international-portfolio-diversification","display_name":"international portfolio diversification","score":0.9580000042915344},{"id":"https://openalex.org/keywords/optimal-portfolio","display_name":"optimal portfolio","score":0.5820000171661377},{"id":"https://openalex.org/keywords/gold","display_name":"gold","score":0.5199999809265137},{"id":"https://openalex.org/keywords/exchange-rates","display_name":"exchange rates","score":0.6970000267028809},{"id":"https://openalex.org/keywords/foreign-investors","display_name":"foreign investors","score":0.47999998927116394},{"id":"https://openalex.org/keywords/currency-holdings","display_name":"currency holdings","score":0.32100000977516174},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"geometric Brownian motion","score":0.7490000128746033},{"id":"https://openalex.org/keywords/us-dollar","display_name":"US dollar","score":0.5389999747276306},{"id":"https://openalex.org/keywords/japanese-yen","display_name":"Japanese yen","score":0.7760000228881836},{"id":"https://openalex.org/keywords/deutsche-mark","display_name":"Deutsche Mark","score":0.4959999918937683},{"id":"https://openalex.org/keywords/pound-sterling","display_name":"British pound","score":0.5490000247955322},{"id":"https://openalex.org/keywords/franc","display_name":"franc","score":0.32199999690055847}],"concepts":[{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.7211824655532837},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5913487672805786},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.5528410077095032},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.5475250482559204},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.4492642879486084},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.419051855802536},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.369803249835968},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3505208194255829},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.3386/w0960","doi":"https://doi.org/10.3386/w0960","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w0960","pdf_url":"https://doi.org/10.3386/w0960","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},{"id":"pmh:oai:RePEc:nbr:nberch:6836","doi":null,"is_oa":false,"landing_page_url":"http://www.nber.org/chapters/c6836.pdf","pdf_url":"http://www.nber.org/chapters/c6836.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"book"},{"id":"pmh:oai:RePEc:nbr:nberwo:0960","doi":null,"is_oa":false,"landing_page_url":"http://www.nber.org/papers/w0960.pdf","pdf_url":"http://www.nber.org/papers/w0960.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:3125179829","doi":null,"is_oa":false,"landing_page_url":"http://ideas.repec.org/p/nbr/nberwo/0960.html","pdf_url":null,"source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"National Bureau of Economic Research","raw_type":null},{"id":"mag:3125908774","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/paper/nbrnberwo/0960.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null}],"best_oa_location":{"id":"doi:10.3386/w0960","doi":"https://doi.org/10.3386/w0960","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w0960","pdf_url":"https://doi.org/10.3386/w0960","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1556488929.pdf","grobid_xml":"https://content.openalex.org/works/W1556488929.grobid-xml"},"referenced_works_count":11,"referenced_works":["https://openalex.org/W595181300","https://openalex.org/W622048318","https://openalex.org/W1549517064","https://openalex.org/W1556488929","https://openalex.org/W1984697146","https://openalex.org/W2139771628","https://openalex.org/W2237893452","https://openalex.org/W2468096472","https://openalex.org/W2890914580","https://openalex.org/W4230673494","https://openalex.org/W4242794156"],"related_works":["https://openalex.org/W2890914580","https://openalex.org/W7204170989","https://openalex.org/W7216038295","https://openalex.org/W2544135776","https://openalex.org/W4396524690","https://openalex.org/W4415286060","https://openalex.org/W1576189905","https://openalex.org/W7204832989","https://openalex.org/W7204118883","https://openalex.org/W1998609969"],"abstract_inverted_index":{"Using":[0],"a":[1,70,78,245,257],"continuous-time":[2],"finance-theoretic":[3],"framework,":[4],"this":[5],"paper":[6],"presents":[7],"the":[8,51,62,84,92,155,162,165,172,184,187,200,204,207,210,216,220,224,228,238,249],"optimal":[9,149,225,262],"port\u00b1olio":[10],"rule":[11,54],"of":[12,38,83,95,147,154,157,164,171,174,186,202,206,227],"an":[13,34,96],"international":[14,231],"investor":[15,97,137],"who":[16,23],"consumes":[17],"N":[18,25,67],"national":[19],"composite":[20],"goods":[21,99],"and":[22,41,73,133,160,189,209,230,243],"holds":[24],"domestic-currency-denominated":[26],"assets":[27,40,68],"with":[28,69,77],"known":[29,71],"nominal":[30],"interest":[31],"rates":[32,43,159],"in":[33,56,81,109,115,121,151,223,237,247,260],"environment":[35],"where":[36,64],"prices":[37],"goods,":[39,141],"exchange":[42,158],"follow":[44],"geometric":[45],"Brownian":[46],"motion.It":[47],"is":[48,59,89,234,251],"shown":[49],"that":[50,91,179],"currency":[52],"portfolio":[53,94,150,226],"described":[55],"Macedo":[57],"(l982a)":[58],"applicable":[60],"to":[61,106,193,219,253],"case":[63,205],"there":[65,212],"are":[66],"price":[72,80],"one":[74],"asset,":[75],"gold,":[76,161],"random":[79],"terms":[82],"numeraire.Under":[85],"these":[86],"assumptions,":[87],"it":[88,233],"found":[90,235],"ontimal":[93],"consuming":[98,138],"from":[100],"all":[101],"major":[102],"industrialized":[103],"countries":[104],"(according":[105],"their":[107,195],"weight":[108],"total":[110],"trade)":[111],"would":[112,144],"be":[113],"dominated":[114],"March":[116,196],"1981":[117,197],"by":[118,142],"long":[119],"positions":[120],"U.S.":[122,140,152,229],"dollars":[123],"(25%),":[124],"yen":[125,208],"(17%),":[126],"D.":[127],"marks":[128],"(16%),":[129],"French":[130],"francs":[131],"(15%),":[132],"pounds":[134],"sterling":[135],"(10%).An":[136],"only":[139],"contrast,":[143],"hold":[145],"96%":[146],"his":[148],"dollars.Because":[153],"covariance":[156],"exclusion":[163],"latter":[166],"generates":[167],"substantial":[168],"reshuffling.The":[169],"analysis":[170],"evolution":[173],"portfolios":[175],"over":[176],"time":[177],"shows":[178],"shares":[180],"changed":[181],"dramatically":[182],"at":[183],"beginning":[185],"period":[188,239,246],"did":[190],"not":[191],"begin":[192],"approach":[194],"values":[198],"until":[199],"end":[201],"1976.In":[203],"pound":[211],"were":[213],"oscillations":[214],"throughout":[215],"period.With":[217],"respect":[218],"dollar":[221,250],"share":[222,263],"investor,":[232],"that,":[236],"between":[240],"late":[241],"1974":[242],"mid-1976,":[244],"which":[248],"considered":[252],"have":[254],"been":[255],"\"strong\",":[256],"large":[258],"decline":[259],"its":[261],"took":[264],"place.":[265]},"counts_by_year":[{"year":2023,"cited_by_count":2}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
