Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10478869 | Journal of Multinational Financial Management | 2005 | 14 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Claire G. Gilmore, Ginette M. McManus, Ahmet Tezel,