Beneficios de un portafolio sobreponderado en países emergentes versus globalmente diversificado
Autor: | Dora Aguilasocho-Montoya, Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa |
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Rok vydání: | 2020 |
Předmět: | |
Zdroj: | Mercados y Negocios, Iss 42, Pp 5-26 (2020) |
ISSN: | 2594-0163 1665-7039 |
DOI: | 10.32870/myn.v1i42.7548 |
Popis: | In the present paper we test the benefit of overweighting a Global stock portfolio in Emerging markets. This, against a globally full-diversified one. By using a Gaussian two-regime Markov-Switching model in the SP the LATAM S&P, the East Europe S&P, the S&P Asia-Pacific, the S&P mid-west and Africa and the S&P BRIC indexes, we tested the benefit of global diversification. From a U.S. dollar based investor perspective, we found in our results that is preferable to invest in a portfolio with only U.S. and Emerging markets stocks, instead of a global broad diversified portfolio. By the fact that a less diversified portfolio has a better mean-variance efficiency in a global diversification context, this result seems challenge the main assumptions of the classical portfolio theory. |
Databáze: | OpenAIRE |
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