Beneficios de un portafolio sobreponderado en países emergentes versus globalmente diversificado

Autor:	Dora Aguilasocho-Montoya, Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa
Rok vydání:	2020
Předmět:	modelos markovianos de cambio de régimen HF5001-6182 selección de portafolios Welfare economics Commerce Diversification (finance) mercados emergentes BRIC HF1-6182 Stock portfolio diversificación East europe Economics Liberian dollar Portfolio Business Emerging markets Modern portfolio theory
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
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::77c01eb315dec6c208bb13243445463f https://doi.org/10.32870/myn.v1i42.7548 Zobrazit plný text záznamu