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Regime-Aware Portfolio Robustness Across Emerging and Developed Equity Markets

Author

Listed:
  • Rohith Surya M
  • Dr. Arpita Choudhary

    (Assistant Professor, Madras School of Economics, Chennai, India.)

Abstract

The research investigates how portfolio optimization techniques maintain their effectiveness during different market conditions which affect both emerging and developed equity markets by studying In¬dia and Singapore as case studies. The analysis compares mean–variance, minimum variance, equally weighted, and Conditional Value-at-Risk (CVaR) portfolios under both stable and stress market condi¬tions. The research identifies market regimes through a drawdown-based framework which uses an XGBoost classifier that processes macro-financial data including equity index returns and exchange rate movements and implied volatility indicators. The findings show that diversification strategies achieve better results in emerging markets which experience constant market changes while CVaR-based op-timization delivers better protection against losses and enhanced results in developed markets with extended stressful periods. The results demonstrate that portfolio strength and optimization success depend on the specific market conditions which affect different regimes.

Suggested Citation

  • Rohith Surya M & Dr. Arpita Choudhary, 2026. "Regime-Aware Portfolio Robustness Across Emerging and Developed Equity Markets," Working Papers 2026-302, Madras School of Economics,Chennai,India.
    • Handle: RePEc:mad:wpaper:2026-302
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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