Full Length Research Paper
References
Aldrich J (1997). R. A. Fisher and the Making of Maximum Likelihood 1912 – 1922. Statistical Sci. 12(3):162-176. |
|
Baele L, Inghelbrecht K (2009). Time-varying integration and International diversification strategies. J. Empir. Financ. 16(3):368-387. |
|
Bailey BA, Heck JL, Wilkens KA (2005). International mutual fund performance and political risk. Rev. Pacific Basin Financ. Markets Policies 8(1):167-184. |
|
Becker F, Gürtler M, Hibbeln M (2015). Markowitz versus Michaud: portfolio optimization strategies reconsidered. Eur. J. Financ. 21(4):269-291. |
|
Bessler W, Opfer H, Wolf D (2014). Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance, and Naïve Diversification Approaches. Eur. J. Financ. 23(1): 1-30. |
|
Bond SA, Satchell SE (2002). Statistical properties of the sample Semi-variance. Appl. Mathematical Financ. 9:219-239. |
|
Bouslama O, Ouda OB (2014). International Portfolio Diversification Benefits: The Relevance of Emerging Markets. Int. J. Econ. Financ. 6(3):200-215. |
|
Chiou WP (2009). Benefits of international diversification with investment constraints: An over-time perspective. J. Multinational Financ. Manage. 19(2):93-110. |
|
Coeurdacier N, Guibaud S (2011). International portfolio diversification is better than you think. J. Int. Money Financ. 30:289-308. |
|
Cumova D, Nawrocki D (2011). A symmetric LPM model for heuristic mean-semivariance analysis. J. Econ. Bus. 63:217-236. |
|
Daskalaki C, Skiadopoulos G (2011). Should investors include commodities in their portfolios after all? New evidence. J. Bank. Finance, 35(10): 2606-2626. |
|
DeMiguel V, Garlappi L, Nogales FJ, Uppal R (2009). A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Manage. Sci. 55:798-812. |
|
Dimitriou DI, Kenourgios D (2012). Opportunities for Diversification International in the Balkans Markets. Int. J. Econ. Res. 3(1):1-12. |
|
Dunis CL, Shannon G (2005). Emerging markets of South-East and Central Asia: do they still offer a diversification benefit? J. Asset. Manage., 6(3):168-190. |
|
Égert B, Kocenda E (2007). Interdependence between Eastern and Western European stock markets: Evidence from intraday data. Econ. Syst. 31(2):184-203. |
|
Estrada J (2008). Mean-Semivariance optimization: A Heuristic Approach. J. Appl. Financ. 18(1):57-72. |
|
Flavin TJ, Panopoulou E (2009). On the robustness of international portfolio diversication benefits to regime-switching volatility. J. Int. Financ. Mark. Institutions Money, 19(1):140-156. |
|
Gerke W, Mager F, Röhrs A (2005). Twenty years of international diversification from a German perspective. Schmalenbach. Bus. Rev. 57(2):86-102. |
|
Giannopoulos K, Tunaru R (2005). Coherent risk measures under filtered historical Simulation. J. Banking Financ. 29:979-996. |
|
Hassan KM, Neal CM, Hassan Mel, Ahmad T (2003). Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa. Econ. System 27(1):63-82. |
|
Ho K, Milevsky MA, Robinson C (1999). International equity diversification and shortfall risk. Financ. Serv. Rev. 8(1):11-25. |
|
Kearney C, Poti V (2006). Correlation dynamics in European equity markets. Res. Int. Bus. Finance, 20(3):305-321. |
|
Konno H, Yamazaki H (1991). Mean-Absolute Deviation Portfolio Optimization Model and ITS Applications to Tokyo Stock Market. Manage. Sci. 37(5):519-531. |
|
Lagoarde-Segot T, Lucey BM (2007). International Portfolio Diversification: Is there a role for the Middle East and North Africa? J. Multinational Financ. Manage. 17:401-416. |
|
Laopodis NT (2005). Portfolio diversification benefits within Europe: Implications for a US investor. Int. Rev. Financ. Anal. 14:455-476. |
|
Liang Y, Mclntosh W (1999). Measuring the diversification benefit of an investment. Prudential Real Estate Investors. October, pp.1-20. |
|
Liljeblom E, Loflund A, Krokfors S (1997). The benefits from international diversification for nordic investors. J. Bank. Financ. 21:469-490. |
|
Mansourfar G, Mohamad S, Hassan T (2010). A review on international portfolio diversification: The Middle East and North Africa region. Afr. J. Bus. Manage. 4(19):4167-4173. |
|
Markowitz HM (1952). Portfolio Selection. J. Financ. 7(1):77-91. |
|
Markowitz HM (1959). Portfolio Selection. Efficient Diversification of Investments. John Wiley & Sons, New York. |
|
Michaud RO (1998). Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation. Boston: Harvard Business School Press. |
|
Miller N, Ruszczynski A (2008). Risk-adjusted probability measures in portfolio optimization with coherent measures of risk. Eur. J. Oper. Res. 191(1):193-206. |
|
Moon Y, Yao T (2011). A robust mean absolute deviation model for portfolio optimization. Comput. Oper. Res. 38:1251-1258. |
|
Odier P, Solnik B (1993) Lessons for international asset allocation. Financ. Analyst J. March/April, pp.56-64. |
|
Rezayat F, Yavas BF (2006). International portfolio diversification: A study of linkages among the USA, European and Japanese equity market. J. Multinational Financ. Manage. 16(4):440-458. |
|
Rowland PF, Linda LT (2004). Multinationals and the Gains from International Diversification. Rev. Econ. Dynamics 7(4):789-826. |
|
Sharpe WF (1994). The Sharpe Ratio. J. Portfolio Manage. 21(1):49-58. |
|
Xue JH, Titterington M (2011). The p-folded cumulative distribution function and the mean absolute deviation from the p-quantile. Stat. Prob. Lett. 81:1179-1182. |
|
Yu JS, Hassan MK (2008). Global and regional integration of the Middle East and North African (MENA) stock markets. Q. Rev. Econ. Finance 48(3):482-504. |
Copyright © 2024 Author(s) retain the copyright of this article.
This article is published under the terms of the Creative Commons Attribution License 4.0