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Emerging markets, downside risk and the asset allocation decision

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  • Stevenson, Simon

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  • Stevenson, Simon, 2001. "Emerging markets, downside risk and the asset allocation decision," Emerging Markets Review, Elsevier, vol. 2(1), pages 50-66, March.
    • Handle: RePEc:eee:ememar:v:2:y:2001:i:1:p:50-66
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    References listed on IDEAS

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    1. Simon Stevenson, 2001. "Bayes-Stein Estimators and International Real Estate Asset Allocation," Journal of Real Estate Research, American Real Estate Society, vol. 21(1/2), pages 89-104.
    2. Richards, Anthony J, 1997. "Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?," Journal of Finance, American Finance Association, vol. 52(5), pages 2129-2144, December.
    3. Bey, Roger P., 1979. "Estimating the Optimal Stochastic Dominance Efficient Set with a Mean-Semivariance Algorithm," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 1059-1070, December.
    4. Vijay K. Chopra & Chris R. Hensel & Andrew L. Turner, 1993. "Massaging Mean-Variance Inputs: Returns from Alternative Global Investment Strategies in the 1980s," Management Science, INFORMS, vol. 39(7), pages 845-855, July.
    5. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    6. Mao, James C T, 1970. "Survey of Capital Budgeting: Theory and Practice," Journal of Finance, American Finance Association, vol. 25(2), pages 349-360, May.
    7. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    8. Ronald Balvers & Yangru Wu & Erik Gilliland, 2000. "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies," Journal of Finance, American Finance Association, vol. 55(2), pages 745-772, April.
    9. Hogan, William W. & Warren, James M., 1972. "Computation of the Efficient Boundary in the E-S Portfolio Selection Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1881-1896, September.
    10. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
    11. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 635-635, November.
    12. Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
    13. Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
    14. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
    15. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
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    Cited by:

    1. Jose Fernandes & Augusto Hasman & Juan Ignacio Pena, 2007. "Risk premium: insights over the threshold," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 41-59.
    2. Mansourfar, Gholamreza & Mohamad, Shamsher & Hassan, Taufiq, 2010. "The behavior of MENA oil and non-oil producing countries in international portfolio optimization," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 415-423, November.
    3. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, vol. 11(4), pages 301-318, December.
    4. Karma, Otto & Sander, Priit, 2006. "The impact of financial leverage on risk of equity measured by loss-oriented risk measures: An option pricing approach," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1340-1356, December.
    5. Pavabutr, Pantisa, 2003. "An evaluation of MLPM allocation rules on emerging markets portfolios," Emerging Markets Review, Elsevier, vol. 4(1), pages 73-90, March.
    6. S.S.S. Kumar, 2011. "Are Emerging Markets Relevant for Portfolio Diversification?," Review of Market Integration, India Development Foundation, vol. 3(2), pages 103-119, August.
    7. Adam Borovička, 2022. "Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 595-616, June.
    8. S S S Kumar, 2012. "The relevance of emerging markets in portfolio diversification: Analysis in a downside risk framework," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 162-169, June.
    9. Fuenzalida, Darcy & Mongrut, Samuel, 2010. "Estimation Of Discount Rates In Latin America: Empirical Evidence And Challenges," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 15(28), pages 7-43.
    10. Şahin, Baki Cem & Danışoğlu, Seza, 2022. "Ambiguity and asset pricing: An empirical investigation for an emerging market," International Review of Financial Analysis, Elsevier, vol. 84(C).
    11. Thomas, Nisha Mary & Kashiramka, Smita & Yadav, Surendra Singh & Paul, Justin, 2022. "Role of emerging markets vis-à-vis frontier markets in improving portfolio diversification benefits," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 95-121.
    12. Guidi, Francesco & Ugur, Mehmet, 2014. "An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 119-136.

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