Econometrics and Metaheuristic Optimization Approaches to International Portfolio Diversification

Author

Assistant Professor in Finance, Urmia University, Iran

Abstract

Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Findings of this study highlight the potential role of the Middle Eastern equity markets in providing international portfolio diversification benefits for East Asian investors. It is also found that the long and the short-term efficient frontiers in any of the intra or inter-regionally diversified portfolios do not provide similar benefits.
Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)
Volume 6, Issue 1 - Serial Number 6
Iranian Journal of Management Studies
January 2013
Pages 45-75

Files

Share

How to cite

Statistics