Emerging Markets And International Portfolio Optimization

Author(s)

Farhat Khaoula H , Hallara Slaheddine ,

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Volume 3 - July 2014 (07)

Abstract

In this paper we studied the impact of the integration of emerging markets in a portfolio composed initially of developed markets. The sample is composed of seven stock indices of developed markets and nine emerging market stock indices. Our main conclusions are the following. First, a study of the whole horizon showed that efficient frontier composed of developed and emerging markets dominates the efficient frontier composed of developed markets. Second, a more detailed study of efficient frontier on different sub-periods showed that the interest of emerging markets fluctuates over time. This, was approved by BOX'M test which showed instability of the parameters involved in the optimization strategy

Keywords

Emerging markets, Portfolio optimization, Markowitz model, Efficient frontier 

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