Beneficios de un portafolio sobreponderado en países emergentes versus globalmente diversificado
DOI:
https://doi.org/10.32870/myn.v1i42.7548Palabras clave:
Selección de portafolios, Mercados emergentes, Diversificación, Modelos markovianos de cambio de régimenResumen
En el presente trabajo se prueba el beneficio de sobreinvertir un portafolio global de acciones en países emergentes. Esto en comparación a un portafolio globalmente diversificado. Al emplear un modelo markoviano con cambios de régimen, en un contexto de dos regímenes y una función de verosimilitud gaussiana, se encontró que es preferible tener un portafolio sobreinvertido en acciones de países emergentes y de Estados Unidos. Lo anterior en comparación a un portafolio globalmente diversificado. El resultado sugiere que los postulados de la teoría clásica de portafolios no siempre se sostienen en materia de diversificación global.Citas
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