Identificador persistente para citar o vincular este elemento:
http://hdl.handle.net/10662/24146
| Títulos: | Two-Stage Asset Allocation with Data Envelopment Analysis: The Case of Emerging Markets |
| Autores/as: | Miralles Quirós, José Luis Miralles Quirós, María del Mar Nogueira, José Manuel de Barros Pinheiro |
| Palabras clave: | Data envelopment analysis;Análisis envolvente de datos;Emerging markets;Mercados emergentes;Exchange traded funds;Fondos de inversión cotizados;Portfolio optimization;Optimización de carteras;Performance;Rendimiento |
| Fecha de publicación: | 2020 |
| Editor/a: | Charles University, Faculty of Social Sciences. |
| Resumen: | Emerging countries have experienced significant geopolitical, economic and demographic changes in recent years. These changes have led investors to doubt the merits of investing in them or not. This study examines different rules of portfolio construction using exchange-traded funds from eighteen emerging markets and employs Data Envelopment Analysis to select the efficient ones. We show that portfolios created using this method clearly outperform equally weighted portfolios and also those built using classical portfolio optimization approaches. |
| URI: | http://hdl.handle.net/10662/24146 |
| DOI: | 10.32065/CJEF.2020.05.01 |
| Colección: | DEFYC - Artículos |
Archivos
| Archivo | Descripción | Tamaño | Formato | |
|---|---|---|---|---|
| CJEF_2020_05_01.pdf | Two-Stage Asset Allocation with Data Envelopment Analysis: The Case of Emerging Markets | 432,52 kB | Adobe PDF | Descargar |
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