The Asset Allocation of Emerging Market Mutual Funds:

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimizatio...

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1. Verfasser: Disyatat, Piti (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C International Monetary Fund 2001
Schriftenreihe:IMF Working Papers Working Paper No. 01/111
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Zusammenfassung:Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds'' holdings
Beschreibung:1 Online-Ressource (27 p)
ISBN:1451853475
9781451853476

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