Optimal portfolio analysis for selected eastern countries : Czech Republic, Hungary, Poland and Russia
Part of : MIBES Transactions : international journal ; Vol.1, No.1, 2007, pages 153-168
Issue:
Pages:
153-168
Author:
Abstract:
In this paper we examine the issue of possible portfolio diversification benefits into four selected Eastern stock markets: Czech Republic, Hungary, Poland and Russia. International Portfolio investment gradually increased during the late 2000's in this region. We construct international portfolios in dollars and local currencies using four different portfolio construction techniques, including two naïve portfolios, with random and equal weights and two professional ones, using past performance and the Markowitz mean variance portfolio method. Using a series of simulations, many portfolios are constructed per category using our data. The portfolios are then evaluated with standard portfolio evaluation methods. Our results confirm that the Markowitz portfolio construction methodology gives best results and at the same time we show that low correlation among the markets investigated allows the realization of important diversification benefits both in dollar and local currencies.
Subject (LC):
Keywords:
portfolio diversification, Markowitz mean variance frontier, selected eastern countries
Notes:
Περιέχει πίνακες, διαγράμματα και βιβλιογραφία
