Empirical studies on internationally diversified investment using a stock-bond integrated model

This paper presents the result of extensive computational experiments on an internationally diversified investment model using a large number of individual stocks and bonds in a single stock-bond integrated mean risk framework. This model was proposed by one of the authors in 1997 and was shown to perform better than standard asset allocation strategy when the universe is the set of stocks and bonds of Japan and U.S. In this paper, we extend the universe to over 3500 assets consisting of stocks of 46 countries and bonds of 20 countries and compare the integrated approach with other well used methods. Computational experiments show that the integrated approach is superior to the traditional methods.