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Portfolio Selection:Application on International Stock Portfolios

Author

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  • Turhan Korkmaz
  • Elif Birkan

Abstract

In this study, despite the increasing economic integration because of the globalization and technological improvement, whether emerging markets provides international diversification benefits to investors is examined. International diversified portfolios are created according to Markowitz’s Mean-Variance Model. These portfolios consist of equity indices returns of developed markets, emerging markets and SMEs (Small and Medium Sized Enterprises) in developed markets. Also, portfolios consisting of ADR and equity indices returns of developed markets, emerging markets and SMEs are created. International diversified portfolios created with Markowitz’s Mean-Variance Model are evaluated according to performance evaluation criterions and VaR of these portfolios are calculated so that benefits of diversification are expressed quantitatively.

Suggested Citation

  • Turhan Korkmaz & Elif Birkan, 2008. "Portfolio Selection:Application on International Stock Portfolios," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(40), pages 65-98.
    • Handle: RePEc:bor:iserev:v:10:y:2008:i:40:p:65-98
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    More about this item

    Keywords

    Portfolio; diversification; international;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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