Dynamic gains of Including emerging markets assets in an international diversified portfolios

Using a utility based measure and under a conditional mean-variance framework this paper analyzes the economic value of diversifying into emerging market. Depending on risk tolerance characteristics, the value of diversifying into emerging equity markets is estimated to be between 100 and 300 annual...

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Autor principal: Orlandi, Andrés
Otros Autores: Bebczuk, Ricardo Néstor
Formato: Tesis Tesis de maestria
Lenguaje:Inglés
Publicado: 2003
Materias:
Ciencias Económicas
Inversión
Economía
Empresas
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/3351
https://doi.org/10.35537/10915/3351
http://www.depeco.econo.unlp.edu.ar/maestria/tesis/026-tesis-orlandi.pdf
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SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-3351
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Inversión
Economía
Empresas
spellingShingle Ciencias Económicas
Inversión
Economía
Empresas
Orlandi, Andrés
Dynamic gains of Including emerging markets assets in an international diversified portfolios
topic_facet Ciencias Económicas
Inversión
Economía
Empresas
description Using a utility based measure and under a conditional mean-variance framework this paper analyzes the economic value of diversifying into emerging market. Depending on risk tolerance characteristics, the value of diversifying into emerging equity markets is estimated to be between 100 and 300 annual basis points, even after imposing realistic constrains that investors face in these markets. Importantly, the methodology used in this paper allows studying how changes in the national and international environment affects this measure. The analysis indicate that while emerging market crises seem to reduce these economic gains, when US economy is in a recession, investing in emerging equity markets still help improving the portfolio performance. At the same time, although in the early nineties a capital market liberalization process took place, the gains of investing in emerging equities remain economically significant, with a growing trend from 2001 on.
author2 Bebczuk, Ricardo Néstor
author_facet Bebczuk, Ricardo Néstor
Orlandi, Andrés
format Tesis
Tesis de maestria
author Orlandi, Andrés
author_sort Orlandi, Andrés
title Dynamic gains of Including emerging markets assets in an international diversified portfolios
title_short Dynamic gains of Including emerging markets assets in an international diversified portfolios
title_full Dynamic gains of Including emerging markets assets in an international diversified portfolios
title_fullStr Dynamic gains of Including emerging markets assets in an international diversified portfolios
title_full_unstemmed Dynamic gains of Including emerging markets assets in an international diversified portfolios
title_sort dynamic gains of including emerging markets assets in an international diversified portfolios
publishDate 2003
url http://sedici.unlp.edu.ar/handle/10915/3351
https://doi.org/10.35537/10915/3351
http://www.depeco.econo.unlp.edu.ar/maestria/tesis/026-tesis-orlandi.pdf
work_keys_str_mv AT orlandiandres dynamicgainsofincludingemergingmarketsassetsinaninternationaldiversifiedportfolios
bdutipo_str Repositorios
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