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What determines the composition of international portfolio investments remains an open question in international finance. In this paper, I propose a theory of international portfolio choice where trade networks play a key role. I solve in closed form for the optimal equity and bond portfolio...
Persistent link: https://www.econbiz.de/10013250279
This paper assesses the extent to which a country s external capital structure can aid in mitigating the macroeconomic impact of oil price shocks. Two Caribbean economies highly vulnerable to oil price shocks are considered: an oil importer (Jamaica) and an oil exporter (Trinidad and Tobago)....
Persistent link: https://www.econbiz.de/10010247919
This paper investigates the issue of market risk quantification for emerging and developed market equity portfolios. A very wide spectrum of popular and widely used in practice Value at Risk (VaR) models are evaluated and compared with Extreme Value Theory (EVT) and adaptive filtered models,...
Persistent link: https://www.econbiz.de/10013060189
Economic reasoning suggests that financial globalization that encourages optimal international portfolio investments should improve investor protection standards (IPS) of a country. In practice, however, investors manifest varying degrees of suboptimal international portfolio allocations. Using...
Persistent link: https://www.econbiz.de/10012845667
Consistent with theoretical predictions, we show that investors incorporate expected joint liquidation costs in their portfolio decisions. Using detailed security-level holdings of U.S. Money Market Mutual Funds (MMFs), we construct a new measure of portfolio similarity among investors and show...
Persistent link: https://www.econbiz.de/10012851343
In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...
Persistent link: https://www.econbiz.de/10013103016
Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at NSE in order to determine sensitivity of ZCBs prices...
Persistent link: https://www.econbiz.de/10012864002
Persistent link: https://www.econbiz.de/10011302597
developing country like Bangladesh. Being the first and biggest capital market of Bangladesh, Dhaka Stock Exchange (DSE) is the … investment in the textile industry which is close to 16%. The Bangladesh government, as an investor, has the highest percentage …
Persistent link: https://www.econbiz.de/10012869641