Chapter 3 Mean-variance analysis, trading rules and emerging markets




It has only been in the last few years that serious study on the statistical properties of emerging markets returns has commenced. Papers in this new literature include, inter alia, Frankel (1995), Behaert and Harvey (1995), Erb, Harvey and Viskanter (1995). The purpose of this chapter is to examine the possibility of using trading rules based on mean-variance analysis on emerging markets. The question, among many others, has been discussed in an important study by Harvey (1995). He finds on the basis of extensive testing that standard global asset pricing models fail to explain expected returns in emerging markets due ...

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