Benefits / Costs Of Diversifying In Emerging Markets.

      Аннотация: This study describes an empirical methodology for determining the allocation of funds in global markets. Country specific information variables and investor risk preferences are utilized within the Generalized Auto Regressive Conditional Heteroskedasticitv in the Mean (GARCH-M) model along with mean-variance quadratic programming to investigate the benefits and costs of diversification into emerging markets.

Ключевые слова: emerging markets, Investments, stock exchange, Garch, GARCH-M, diversification, Asset Allocation, Mean Variance Quadratic Programming, efficient frontier