An Analysis of the Potential Gains from Portfolio Diversification among Four Southern European Equity Markets
AbstractUsing both traditional Mean Variance Efficient Frontier (MVEF) analysis and the Johansen (1988) procedure for the analysis of cointegrated systems we assess he gains available to a sterling based investor from diversifying an equity portfolio between four southern European stock markets – Greece, Portugal, Spain and Italy. We find that while the traditional MVEF analysis indicates that there may be significant gains to be had by diversifying between these markets the Johansen procedure reveals that the diversification possibilities are far more limited.
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Bibliographic InfoArticle provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
Volume (Year): 2 (1998)
Issue (Month): 2 (Winter)
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- G0 - Financial Economics - - General
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