Please use this identifier to cite or link to this item:

Downside risk approach conditional asset allocation framework in emerging stock markets

Authors Kwok, Siu Man
Issue Date 2001
Summary In this thesis I examine both the in-sample and out-of-sample performance of mean-variance (MV) strategies and mean-lower partial moment (MLPM) strategies using three different models of expected returns within developed and emerging stock markets framework between April 1991 and October 1998. My results show that the MLPM portfolios outperform the MV portfolios. It may imply that traditional MV framework is no longer adequate to characterize investment decisions in emerging stock markets. It is because the emerging market returns cannot be characterized by a normal distribution but have significant skewness and kurtosis. The downside risk approach portfolio strategies that use conditioning information to predict market returns produce impressive out-of-sample performance over the 1991-1998 period.
Note Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2001
Language English
Format Thesis
Access View full-text via DOI
Files in this item:
File Description Size Format
th_redirect.html 341 B HTML
Copyrighted to the author. Reproduction is prohibited without the author’s prior written consent.