Abstract

TORRE-TORRES, Óscar Valdemar de la; AGUILASOCHO-MONTOYA, Dora  and  GALEANA-FIGUEROA, Evaristo. Benefits of an Emerging markets overweighted portfolio versus a globally diversified. Merc. negocios [online]. 2020, vol.21, n.42, pp.5-26.  Epub Oct 10, 2022. ISSN 2594-0163.  https://doi.org/10.32870/myn.v1i42.7548.

In the present paper, we test the benefit of overweighting a Global stock portfolio in Emerging markets. This, against a globally full diversified one. By using a Gaussian two- regime Markov-Switching model, we found that it is preferable to overweight in U.S. and Emerging markets stocks against a Globally diversified one. Our results suggest that the assumptions of the classical portfolio theory do not always hold.

Keywords : portfolio selection; Emerging markets; Diversification; Markov-Switching models; C24; G11; G15.