EconPapers    
Economics at your fingertips  
 

Portfolio allocations in the Middle East and North Africa

Thomas Lagoarde-Segot and Brian M. Lucey ()

The Institute for International Integration Studies Discussion Paper Series from IIIS

Abstract: We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. We compute the ex-ante weights 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.

Keywords: Portfolio Allocation; Emerging Markets; Middle East and North Africa. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr, nep-fin, nep-fmk and nep-rmg
Date: 2006-05-25
Note: Length:
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.tcd.ie/iiis/documents/discussion/pdfs/iiisdp141.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:iis:dispap:iiisdp141

Access Statistics for this paper

More papers in The Institute for International Integration Studies Discussion Paper Series from IIIS
Address: 01
Contact information at EDIRC.
Series data maintained by Eva Mateo ().

 
Page updated 2014-04-16
Handle: RePEc:iis:dispap:iiisdp141