scholarly journals Asian Emerging Market Government Bond Portfolio Optimization Using Mean-Variance Analysis in the Presence of Duration Constraint

2020 ◽  
Author(s):  
Feby Widyatantri ◽  
Zaäfri Ananto Husodo
Keyword(s):  
Portfolio Optimization ◽  
Emerging Market ◽  
Variance Analysis ◽  
Government Bond ◽  
Bond Portfolio ◽  
Mean Variance

Commodities in International and Emerging Markets

2018 ◽  
Author(s):  
Kamal Smimou
Keyword(s):  
Business Cycle ◽  
Emerging Markets ◽  
Emerging Market ◽  
Trading Strategies ◽  
Emerging Nations ◽  
Economic Significance ◽  
Portfolio Strategy ◽  
Bond Portfolio ◽  
The Business Cycle ◽  
Global Investors

This chapter seeks to elucidate the relations of U.S.-listed global commodity futures, the business cycle, and stocks and bonds of emerging markets. It shows that global investors poised to benefit from investing in emerging market securities can concurrently learn from and better understand the dynamic intermarket relations when establishing such trading strategies. Investment in emerging markets can enhance the performance and sturdiness of an equity or bond portfolio strategy. Evidence lends support to the conjecture that a subtle contemporaneous and occasionally trailing effect exerted by the movement of global commodities on the business cycle exists. Global commodities also affect equity and bond market dynamics. The evidence also reveals differences in terms of economic significance and magnitude among selected emerging nations and across various commodities.

Portfolio optimization with transaction costs: a two-period mean-variance model

2014 ◽  
Vol 233 (1) ◽  
pp. 135-156 ◽  
Author(s):  
Ying Hui Fu ◽  
Kien Ming Ng ◽  
Boray Huang ◽  
Huei Chuen Huang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Variance Model ◽  
Mean Variance

scholarly journals Exploring the benefits of international government bond portfolio diversification strategies

2018 ◽  
Vol 25 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Jonathan Fletcher ◽  
Krishna Paudyal ◽  
Timbul Santoso
Keyword(s):  
Portfolio Diversification ◽  
Government Bond ◽  
Bond Portfolio ◽  
Diversification Strategies

Mean-variance analysis for indivisible assets

Omega ◽  
1981 ◽  
Vol 9 (1) ◽  
pp. 77-88 ◽  
Author(s):  
M Chapman Findlay ◽  
Richard D McBride ◽  
Jonathan S Yormark ◽  
Stephen D Messner
Keyword(s):  
Variance Analysis ◽  
Mean Variance
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