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Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy

Author

Listed:
  • Anna Czapkiewicz

    (AGH University)

  • Artur Machno

    (AGH University)

Abstract

The main goal of the work is to present the empirical verification of the investment attractiveness in a given world financial region. The attractiveness of a region is represented by the share of assets from this region in the optimal portfolio. The multivariate GARCH model has been used to describe international dependencies. Optimal portfolios based on Value at Risk and Expected Shortfall minimization have been compared to the Markowitz portfolio. Indications, which should be taken into account by investors willing to invest in different world regions, have been presented as the result.

Suggested Citation

  • Anna Czapkiewicz & Artur Machno, 2013. "Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 145-162.
    • Handle: RePEc:cpn:umkdem:v:13:y:2013:p:145-162
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    References listed on IDEAS

    as
    1. Giulio Palomba, 2008. "Multivariate GARCH models and the Black-Litterman approach for tracking error constrained portfolios: an empirical analysis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 10(4), pages 379-413.
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    4. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    5. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    6. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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    More about this item

    Keywords

    optimal portfolio; Value at Risk; Expected Shortfall; international dependency;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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