Dynamic gains of Including emerging markets assets in an international diversified portfolios
- Autores
- Orlandi, Andrés
- Año de publicación
- 2003
- Idioma
- inglés
- Tipo de recurso
- tesis de maestría
- Estado
- versión aceptada
- Colaborador/a o director/a de tesis
- Bebczuk, Ricardo Néstor
- Descripción
- Using a utility based measure and under a conditional mean-variance framework this paper analyzes the economic value of diversifying into emerging market. Depending on risk tolerance characteristics, the value of diversifying into emerging equity markets is estimated to be between 100 and 300 annual basis points, even after imposing realistic constrains that investors face in these markets. Importantly, the methodology used in this paper allows studying how changes in the national and international environment affects this measure. The analysis indicate that while emerging market crises seem to reduce these economic gains, when US economy is in a recession, investing in emerging equity markets still help improving the portfolio performance. At the same time, although in the early nineties a capital market liberalization process took place, the gains of investing in emerging equities remain economically significant, with a growing trend from 2001 on.
Magister en Economía
Universidad Nacional de La Plata
Facultad de Ciencias Económicas - Materia
-
Ciencias Económicas
Inversión
Economía
Empresas - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- http://creativecommons.org/licenses/by/3.0/
- Repositorio
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- Institución
- Universidad Nacional de La Plata
- OAI Identificador
- oai:sedici.unlp.edu.ar:10915/3351
Ver los metadatos del registro completo
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Dynamic gains of Including emerging markets assets in an international diversified portfoliosOrlandi, AndrésCiencias EconómicasInversiónEconomíaEmpresasUsing a utility based measure and under a conditional mean-variance framework this paper analyzes the economic value of diversifying into emerging market. Depending on risk tolerance characteristics, the value of diversifying into emerging equity markets is estimated to be between 100 and 300 annual basis points, even after imposing realistic constrains that investors face in these markets. Importantly, the methodology used in this paper allows studying how changes in the national and international environment affects this measure. The analysis indicate that while emerging market crises seem to reduce these economic gains, when US economy is in a recession, investing in emerging equity markets still help improving the portfolio performance. At the same time, although in the early nineties a capital market liberalization process took place, the gains of investing in emerging equities remain economically significant, with a growing trend from 2001 on.Magister en EconomíaUniversidad Nacional de La PlataFacultad de Ciencias EconómicasBebczuk, Ricardo Néstor2003info:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/acceptedVersionTesis de maestriahttp://purl.org/coar/resource_type/c_bdccinfo:ar-repo/semantics/tesisDeMaestriaapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/3351https://doi.org/10.35537/10915/3351enginfo:eu-repo/semantics/altIdentifier/url/http://www.depeco.econo.unlp.edu.ar/maestria/tesis/026-tesis-orlandi.pdfinfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/3.0/Creative Commons Attribution 3.0 Unported (CC BY 3.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-10T11:52:35Zoai:sedici.unlp.edu.ar:10915/3351Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-10 11:52:35.731SEDICI (UNLP) - Universidad Nacional de La Platafalse |
| dc.title.none.fl_str_mv |
Dynamic gains of Including emerging markets assets in an international diversified portfolios |
| title |
Dynamic gains of Including emerging markets assets in an international diversified portfolios |
| spellingShingle |
Dynamic gains of Including emerging markets assets in an international diversified portfolios Orlandi, Andrés Ciencias Económicas Inversión Economía Empresas |
| title_short |
Dynamic gains of Including emerging markets assets in an international diversified portfolios |
| title_full |
Dynamic gains of Including emerging markets assets in an international diversified portfolios |
| title_fullStr |
Dynamic gains of Including emerging markets assets in an international diversified portfolios |
| title_full_unstemmed |
Dynamic gains of Including emerging markets assets in an international diversified portfolios |
| title_sort |
Dynamic gains of Including emerging markets assets in an international diversified portfolios |
| dc.creator.none.fl_str_mv |
Orlandi, Andrés |
| author |
Orlandi, Andrés |
| author_facet |
Orlandi, Andrés |
| author_role |
author |
| dc.contributor.none.fl_str_mv |
Bebczuk, Ricardo Néstor |
| dc.subject.none.fl_str_mv |
Ciencias Económicas Inversión Economía Empresas |
| topic |
Ciencias Económicas Inversión Economía Empresas |
| dc.description.none.fl_txt_mv |
Using a utility based measure and under a conditional mean-variance framework this paper analyzes the economic value of diversifying into emerging market. Depending on risk tolerance characteristics, the value of diversifying into emerging equity markets is estimated to be between 100 and 300 annual basis points, even after imposing realistic constrains that investors face in these markets. Importantly, the methodology used in this paper allows studying how changes in the national and international environment affects this measure. The analysis indicate that while emerging market crises seem to reduce these economic gains, when US economy is in a recession, investing in emerging equity markets still help improving the portfolio performance. At the same time, although in the early nineties a capital market liberalization process took place, the gains of investing in emerging equities remain economically significant, with a growing trend from 2001 on. Magister en Economía Universidad Nacional de La Plata Facultad de Ciencias Económicas |
| description |
Using a utility based measure and under a conditional mean-variance framework this paper analyzes the economic value of diversifying into emerging market. Depending on risk tolerance characteristics, the value of diversifying into emerging equity markets is estimated to be between 100 and 300 annual basis points, even after imposing realistic constrains that investors face in these markets. Importantly, the methodology used in this paper allows studying how changes in the national and international environment affects this measure. The analysis indicate that while emerging market crises seem to reduce these economic gains, when US economy is in a recession, investing in emerging equity markets still help improving the portfolio performance. At the same time, although in the early nineties a capital market liberalization process took place, the gains of investing in emerging equities remain economically significant, with a growing trend from 2001 on. |
| publishDate |
2003 |
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2003 |
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