Portfolio Selection:Application on International Stock Portfolios

Turhan Korkmaz and Elif Birkan

Istanbul Stock Exchange Review, 2008, vol. 10, issue 40, 65-98

Abstract: In this study, despite the increasing economic integration because of the globalization and technological improvement, whether emerging markets provides international diversification benefits to investors is examined. International diversified portfolios are created according to Markowitz’s Mean-Variance Model. These portfolios consist of equity indices returns of developed markets, emerging markets and SMEs (Small and Medium Sized Enterprises) in developed markets. Also, portfolios consisting of ADR and equity indices returns of developed markets, emerging markets and SMEs are created. International diversified portfolios created with Markowitz’s Mean-Variance Model are evaluated according to performance evaluation criterions and VaR of these portfolios are calculated so that benefits of diversification are expressed quantitatively.

Keywords: Portfolio; diversification; international (search for similar items in EconPapers)
JEL-codes: F21 G11 G15 (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_40.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: https://EconPapers.repec.org/RePEc:bor:iserev:v:10:y:2008:i:40:p:65-98

Access Statistics for this article

More articles in Istanbul Stock Exchange Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().