Mean-Variance Model for International Portfolio Selection

Author

Pan, Qiming ; Huang, Xiaoxia

Author_Institution

Sch. of Econ. & Manage., Univ. of Sci. & Technol. Beijing, Beijing

Volume

2

fYear

2008

fDate

17-20 Dec. 2008

Firstpage

632

Lastpage

636

Abstract

With the accelerated process of economic globalization, financial globalization is becoming an inevitable trend. More and more investors have diverted their attention to international stock markets. Consequently, international portfolio selection is becoming a hot research topic for scholars. In this paper, following Markowitz´s classical mean-variance portfolio selection idea, one new mean-variance model for international portfolio selection is proposed. Using the real data from U.S., U.K., Hong Kong, Indonesia, Singapore and Malaysia Stock Markets, one example is given to illustrate the modeling idea.

Keywords

globalisation; investment; stock markets; Markowitz classical mean-variance portfolio selection; economic globalization; financial globalization; international portfolio selection; international stock markets; mean-variance model; Acceleration; Conference management; Exchange rates; Financial management; Globalization; Information security; Portfolios; Stock markets; Technology management; Ubiquitous computing; international portfolio selection; mean-variance model; portfolio selection; risk analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Embedded and Ubiquitous Computing, 2008. EUC '08. IEEE/IFIP International Conference on

Conference_Location

Shanghai

Print_ISBN

978-0-7695-3492-3

Type

conf

DOI

10.1109/EUC.2008.16

Filename

4755296