International portfolio diversification: evidence from emerging markets

dc.contributor.advisorMergulhão, João de Mendonça
dc.contributor.authorVieira, Joana Colarinha
dc.contributor.memberBoons, Martijn
dc.contributor.memberPrado, Melissa Porras
dc.contributor.unidadefgvEscolas::EESPpor
dc.date.accessioned2015-10-13T17:49:57Z
dc.date.available2015-10-13T17:49:57Z
dc.date.issued2015-09-25
dc.description.abstractTaking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.eng
dc.identifier.citationVIEIRA, Joana Colarinha. International portfolio diversification: evidence from emerging markets. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.por
dc.identifier.urihttps://hdl.handle.net/10438/14114
dc.language.isoeng
dc.subjectInternational portfolio diversificationeng
dc.subjectPairwise correlationeng
dc.subjectDynamic conditional correlationeng
dc.subjectRisk parityeng
dc.subject.areaEconomiapor
dc.subject.bibliodataInvestimentos estrangeirospor
dc.subject.bibliodataRisco (Economia)por
dc.subject.bibliodataFinanças internacionaispor
dc.titleInternational portfolio diversification: evidence from emerging marketseng
dc.typeDissertationeng
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