Extreme Observations and Diversification in Latin American Emerging Equity Markets
- Topics:
- Investment and Capital Markets
- Tags:
- Asset Management,
- Tail,
- Operational Planning,
- Marketing Research,
- Marketing,
- Investment,
- Financial Services,
- Finance,
- Equity,
- Diversification,
- ...
- Source:
- University of Houston
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Overview: This paper focuses on the tails of the unconditional distribution of Latin American emerging markets stock returns. The paper explores their implications for portfolio diversification according to the safety first principle. The paper also finds that the Latin American emerging markets have significantly fatter tails than industrial markets, especially, the lower tail of the distribution. For different parameter specifications, it finds a more realistic asset allocation than the one suggested by the literature based on the traditional mean variance framework.
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Format: PDF | Size: 46KB | Pages: 17
