Regime-Aware Portfolio Robustness Across Emerging and Developed Equity Markets

Rohith Surya M and Dr. Arpita Choudhary ()
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Dr. Arpita Choudhary: Assistant Professor, Madras School of Economics, Chennai, India.

Working Papers from Madras School of Economics,Chennai,India

Abstract: The research investigates how portfolio optimization techniques maintain their effectiveness during different market conditions which affect both emerging and developed equity markets by studying In¬dia and Singapore as case studies. The analysis compares mean–variance, minimum variance, equally weighted, and Conditional Value-at-Risk (CVaR) portfolios under both stable and stress market condi¬tions. The research identifies market regimes through a drawdown-based framework which uses an XGBoost classifier that processes macro-financial data including equity index returns and exchange rate movements and implied volatility indicators. The findings show that diversification strategies achieve better results in emerging markets which experience constant market changes while CVaR-based op-timization delivers better protection against losses and enhanced results in developed markets with extended stressful periods. The results demonstrate that portfolio strength and optimization success depend on the specific market conditions which affect different regimes.

Keywords: Portfolio optimization; CVaR; regime detection; emerging markets; developed markets. (search for similar items in EconPapers)
JEL-codes: C58 C63 G11 G17 G32 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2026-05
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