Mean-Variance Model for International Portfolio Selection

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.