کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10478869 | 931414 | 2005 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Portfolio allocations and the emerging equity markets of Central Europe
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
We examine the issue of possible diversification benefits into three leading Central European equity markets. We construct portfolios for both US and German investors using various optimization models and several risk measures. We then compare the portfolio out-of-sample performance using Sharpe ratios and the Jobson-Korkie statistic. Our results show that diversification benefits are statistically significant for US investors, but not for German investors. Optimized portfolios based on lower partial moments exhibit less diversification into the Central European markets than those based on standard deviations. Overall, we show that investors could have benefited from diversifying into the Central European equity markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 15, Issue 3, July 2005, Pages 287-300
Journal: Journal of Multinational Financial Management - Volume 15, Issue 3, July 2005, Pages 287-300
نویسندگان
Claire G. Gilmore, Ginette M. McManus, Ahmet Tezel,