• Cross-Boarder Diversification in Bank Asset Portfolios 

      Buch, Claudia M.; Driscoll, John C.; Østergaard, Charlotte (Working Papers;11/2004, Working paper, 2004)
      Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We ...