Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...

The issue of financial integration, at the country level, is a well-documented phenomenon in the area of International Portfolio Diversification (IPD). Despite the increasing degree of financial integration, it is important to investigate the global integration at industry level to capture the potential benefits of IPD. Thus, this study attempts to evaluate the potential advantages of IPD for i...

the credit portfolio management and the optimal credit portfolio selection are identified as one of the most effective factors in banks’ credit risk. two main strategies in this regard include diversification versus concentration. in this study, at first, the status of diversification of iran’s banking sector is analyzed, then the relationship between diversification of the credit portfolio and...

This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world—namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by...

This paper examines the international diversification benefits subject to portfolio constraints—in particular, constraints on short selling. We show that the international diversification benefits remain substantial for U.S. equity investors when they are prohibited from short selling in emerging markets. This result is robust to investment restrictions on nonnative individuals. It is also unaf...

using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for east asian international investors when investing in the middle eastern emerging markets. overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. finding...