Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy
DOI:
https://doi.org/10.12775/DEM.2013.008Keywords
optimal portfolio, Value at Risk, Expected Shortfall, international dependencyAbstract
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
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