Dynamic Gains of Including Emerging Markets Assets in an International Diversified Portfolio

CDU:

330

Título:

Dynamic Gains of Including Emerging Markets Assets in an International Diversified Portfolio

Autor:

Orlandi, Andrés

Autor secundario/Colaboradores:

Bebczuk, Ricardo (Director de Tesis) 

Nota general:

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.

Temas:

 - TESIS  - CRISIS ECONÓMICA  - MERCADO  - ECONOMÍA 

URL/URI:

;

Idioma:

Inglés

País:

Argentina

Páginas:

16 p.

Nota de tesis:

(Maestría en Economía)- Universidad Nacional de La Plata. Facultad de Ciencias Económicas. Departamento de Economía. 2003

Tipo de documento:

Tesis

Nivel Bibliográfico:

Monográfico

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