Mean-Variance Model for International Portfolio Selection

被引：0

作者：

Pan, Qiming ^{[1
]}

Huang, Xiaoxia ^{[1
]}

机构：

[1] Univ Sci & Technol Beijing, Sch Econ & Management, Beijing 100083, Peoples R China

来源：

EUC 2008: PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON EMBEDDED AND UBIQUITOUS COMPUTING, VOL 2, WORKSHOPS | 2008年

关键词：

portfolio selection; international portfolio selection; mean-variance model; risk analysis;

D O I：

10.1109/EUC.2008.16

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

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 fir 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.

引用

页码：632 / 636

页数：5