Since 2014
INTERNATIONAL PORTFOLIO CHOICES UNDER UNCERTAINTY: A MONTE CARLO SIMULATION PROCESS
Journal of Business and Finance
View Archive Info| Field | Value | |
| Title |
INTERNATIONAL PORTFOLIO CHOICES UNDER UNCERTAINTY: A MONTE CARLO SIMULATION PROCESS
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| Creator |
Mroua, Mourad
Abid, Fathi Wong, Wing K. |
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| Subject |
Optimal portfolios choices, Estimation Errors, Portfolio Resampling, Nonparametric stochastic dominance approach, Monte Carlo and bootstrap p-values simulations
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| Description |
This paper examines the impact of estimation errors on the financial portfolios optimization processes and investigates the controversy problem of the international and domestic optimal diversification strategies choice from an American investor’s point of view. We introduce the concept of portfolio resampling method and we use the nonparametric stochastic dominance approach based simulated p-values to define an optimal diversification choice. Estimation errors visualization shows that changes in input parameters imply large changes in portfolio composition and reveals considerably modification of MV efficient frontiers shape. The findings show that there exists substantial evidence of the international global diversification benefits. Risk-adverse American investor with an increasing utility function prefers the global international resampled diversification strategy. We find that domestic diversification beats only international major and emerging markets diversification. Dominance relationships between the entirely diversification strategies change according to the risk-aversion coefficient.
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| Publisher |
Journal of Business and Finance
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| Contributor |
—
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| Date |
2014-06-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://www.escijournals.net/index.php/JBF/article/view/473
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| Source |
Journal of Business and Finance; Vol 2, No 1 (2014): J. Bus. Financ.; 01-20
2305-1825 2308-7714 |
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| Language |
eng
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| Relation |
http://www.escijournals.net/index.php/JBF/article/view/473/402
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| Rights |
Copyright (c) 2014 Journal of Business and Finance
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