This thesis presents an empirical analysis of ex ante efficient portfolio strategies that are developed to realize potential gains from international diversification. To control the currency risk, this thesis compares the performances between currency hedging and non-hedging strategies. And to reduce a parameter estimation risk, this thesis uses a bayesian estimation technique and compares the performances of other strategies such as certainty-equivalence-tangency, equally weighted and minimum variance portfolio. With performance measuring by Capital Market Line formula, the empirical findings show that stock and bond international portfolio outperforms the Korean domestic portfolio in out-of-sample periods when it is designed to control both estimation and currency risks. But stock only portfolio underperforms the Korean domestic portfolio in out-of-sample periods.
