In 1972 the Australian Federal Government partially relaxed exchange controls prohibiting overseas portfolio investment by Australian investors. The purpose of this paper is to examine the benefits which might have accrued to Australian investors over the period 1970 to 1977 had they been able to take full advantage of international diversification. The analysis is carried out on both an ex post and ex ante basis and looks at both “Markowitz” and “naive” diversification strategies.
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