کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
968851 | 931671 | 2007 | 16 صفحه PDF | دانلود رایگان |

We examine the issue of possible portfolio diversification benefits into seven Middle East and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. Ex ante weights are obtained by plugging five optimization models and two risk measures into a rolling block-bootstrap methodology. This allows us to derive 48 monthly rebalanced ex post portfolio returns. We analyze the out-of-sample performance based on Sharpe and Sortino ratios and the Jobson–Korkie statistic. Our results highlight outstanding diversification benefits in the MENA region, both in dollar and local currencies. Overall, we show that these under-estimated, under-investigated markets could attract more portfolio flows in the future.
Journal: Journal of Multinational Financial Management - Volume 17, Issue 5, December 2007, Pages 401–416