|
|
|
Francois van Dyk,Gary van Vuuren,Paul Styger
AbstractThe residual variance method is the traditional method for measuring portfolio diversification relative to a market index. Problems arise, however, when the market index itself is not appropriately diversified. A diversification measurement (Port...
ver más
|
|
|
|
|
|
|
Galin K. Todorov
Pág. 639 - 661
I use Principal Component Analysis to create an index of portfolio diversification- a quantifiable measure of diversification opportunities offered to US investors by financial markets abroad. The index is estimated for three market clusters: devel...
ver más
|
|
|
|
|
|
|
Aekkachai Nittayagasetwat,Jiroj Buranasiri
Pág. 562 - 567
This research paper investigates the benefit of risk diversification under the increase in the integration of AEC countries? capital markets during 1999 and 2016. The evidences from the correlation and mean-variance analysis confirm the higher stock mark...
ver más
|
|
|
|
|
|
|
Grigoris Giannarakis,Alexandros Garefalakis,Christos Lemonakis,Nikolaos Sariannidis
Pág. 556 - 561
The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar I...
ver más
|
|
|
|
|
|
|
 
This study applies Lo and MacKinlay?s methodology on the weekly movements of equity indices in Argentina, Brazil, Chile, Colombia, Mexico and Peru over the early years of the twenty first century in the WTO and NAFTA era. To test for th...
ver más
|
|
|
|
|
|
|
Jianguo Zheng, Yilin Wang, Shihan Li and Hancong Chen
Accurate stock market prediction models can provide investors with convenient tools to make better data-based decisions and judgments. Moreover, retail investors and institutional investors could reduce their investment risk by selecting the optimal stoc...
ver más
|
|
|
|
|
|
|
Younes Berouaga, Cherif El Msiyah and Jaouad Madkour
Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investiga...
ver más
|
|
|
|
|
|
|
Guido Abate, Tommaso Bonafini and Pierpaolo Ferrari
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achie...
ver más
|
|
|
|
|
|
|
Mobeen Ur Rehman and Syed Muhammad Amir Shah
This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed internati...
ver más
|
|
|
|
|
|
|
Daniel Broby,Raphael Faessler,Milenko Josavac,Christophe Dehut
Pág. 1270 - 1286
We investigate the diversification benefits of adding Switzerland to a Eurozone equity portfolio, both before and after the removal of Swiss franc peg to the euro. We use a mean-variance portfolio framework to compare the benchmark indices in the Eurozon...
ver más
|
|
|
|
|
|
|
Jinghua Wang, John Bilson
Pág. 73 - 80
Over the past fifty years, economic growth in emerging markets has been supported by investments in capital and technology from the developed world. The benefit of this development for the emerging markets, as measured by growth in income, employment, an...
ver más
|
|
|
|
|
|
|
Kasilingam LINGARAJA,Murugesan SELVAM,Vinayagamoorthi VASANTH,Ramachandran RAJESH RAMKUMAR
Pág. 324 - 333
The international portfolio diversification is a function of correlation of equity markets across countries and the amount of correlation one market has with another, decides the scope of portfolio diversification. The market having high correlation with...
ver más
|
|
|
|
|
|
|
José Antonio Núñez-Mora and Eduardo Sánchez-Ruenes
Oil, also called black gold, is considered as the commodity which has the greatest impact on the world?s economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (GDP), inflation,...
ver más
|
|
|
|