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A mean-variance diagnosis of the financial crisis : international diversification and safe havens
Eptas, Alexander; Leger, Lawrence A. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 97-117
crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock …
Persistent link: https://www.econbiz.de/10011556006
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A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens
Eptas, Alexander; Leger, Lawrence A. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 97-117
crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock …
Persistent link: https://www.econbiz.de/10010699154
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Can We Avoid Another Financial Crisis - Book Review
Gambles, Paul - 2022
Australian Steve Keen was, in fact, one of just 13 registered economists , out of a global total of around 36,000 (yes that really comes out as 0.04%), who actually anticipated the global financial crisis.Knowing this, I think it’s almost impossible not to want to read his latest book,...
Persistent link: https://www.econbiz.de/10014235935
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The changing role of emerging and frontier markets in global portfolio diversification
Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature …
Persistent link: https://www.econbiz.de/10014233132
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Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes
Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16
Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … individual portfolios and later compared to the hypothetical common equity index. The results show diversification benefits …35, FTSE MIB, and FTSE100. In contrast, DAX, MDAX, and CAC40 on average tend to be less diversified. The diversification …
Persistent link: https://www.econbiz.de/10013277308
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Do Ṣukūk and Islamic indexes act as safe refuge to conventional stock markets? : evidence from Markov-switching CAPM approach
Bahloul, Slah; Mathlouthi, Fatma - In: Islamic economic studies 30 (2022) 1, pp. 64-83
Purpose The objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and Ṣukūk during the crises time. Second, to evaluate this property in the last pandemic. This study employs the daily dataset from June 15, 2015, to June 15, 2020, for...
Persistent link: https://www.econbiz.de/10014286183
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International Investment in Equities and Geographical Diversification (English Version)
Leblanc, Matthieu - 2011
We present a short and pedagogical study about the benefices of geographical diversification …
Persistent link: https://www.econbiz.de/10013127770
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Foreign Bias in Australian Domiciled Mutual Fund Holdings
Mishra, Anil V - Volkswirtschaftliche Fakultät, … - 2015
The paper develops foreign equity bias measures for Australian domiciled mutual funds, which invest in 41 countries worldwide, over the period 2002 to 2012, by employing various models i.e. International Capital Asset Pricing, Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and...
Persistent link: https://www.econbiz.de/10011234846
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Measures of Equity Home Bias Puzzle
Mishra, Anil - Volkswirtschaftliche Fakultät, … - 2013
The paper develops measures of home bias for 48 countries over the period 2001 to 2011 by employing various models: International Capital Asset Pricing Model (ICAPM), Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. ICAPM country portfolio weights are computed relative to...
Persistent link: https://www.econbiz.de/10011258830