ECONOMETRICS AND METAHEURISTIC OPTIMIZATION APPROACHES TO INTERNATIONAL PORTFOLIO DIVERSIFICATION

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MANSOURFAR GHOLAMREZA

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Paper Information

Journal: Interdisciplinary Journal of Management Studies Year:2013 | Volume:6 | Issue:1 Page(s): 45-75

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Information Journal Paper

Title

ECONOMETRICS AND METAHEURISTIC OPTIMIZATION APPROACHES TO INTERNATIONAL PORTFOLIO DIVERSIFICATION

Author(s)

MANSOURFAR GHOLAMREZA | Issue Writer Certificate

Keywords

INTERNATIONAL PORTFOLIO OPTIMIZATIONQ2

MULTIPLE-FUNCTION GENETIC ALGORITHMQ2

INTEGRATIONQ2

INVESTMENT HORIZONQ2

EMERGING MARKETSQ2

Abstract

Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern EMERGING MARKETS. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Findings of this study highlight the potential role of the Middle Eastern equity markets in providing international portfolio diversification benefits for East Asian investors. It is also found that the long and the short-term efficient frontiers in any of the intra or inter-regionally diversified portfolios do not provide similar benefits.

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APA: Copy

MANSOURFAR, GHOLAMREZA. (2013). ECONOMETRICS AND METAHEURISTIC OPTIMIZATION APPROACHES TO INTERNATIONAL PORTFOLIO DIVERSIFICATION. IRANIAN JOURNAL OF MANAGEMENT STUDIES, 6(1), 45-75. SID. https://sid.ir/paper/240938/en

Vancouver: Copy

MANSOURFAR GHOLAMREZA. ECONOMETRICS AND METAHEURISTIC OPTIMIZATION APPROACHES TO INTERNATIONAL PORTFOLIO DIVERSIFICATION. IRANIAN JOURNAL OF MANAGEMENT STUDIES[Internet]. 2013;6(1):45-75. Available from: https://sid.ir/paper/240938/en

IEEE: Copy

GHOLAMREZA MANSOURFAR, “ECONOMETRICS AND METAHEURISTIC OPTIMIZATION APPROACHES TO INTERNATIONAL PORTFOLIO DIVERSIFICATION,” IRANIAN JOURNAL OF MANAGEMENT STUDIES, vol. 6, no. 1, pp. 45–75, 2013, [Online]. Available: https://sid.ir/paper/240938/en

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