Abstract. This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down procedure, assuming that country-level effects drive financial aggregates (e.g., stock returns...

The focal objective of this study is to analyze and explore the Co-movement of Pakistan stock market (KSE-100) with the stock market of developed countries (US, UK, Canada, Australia, Germany, Japan, France and Neither land) which have portfolio investment in Pakistan by applying co-integration approach using Johansen and Juselius multivariate and bi variate co-integration. Secondary data of st...

The general investment problem concerns the allocation of wealth among m assets (stocks) to generate high returns with low risk or uncertainty. Cover and Ordentlich consider this problem from an information theoretic perspective in the case where a side information sequence aids the investment decisions but no assumptions are made on the relative likelihoods (probabilities) of stock returns seq...

The emerging market China is currently one of the most attractive and promising markets in the world. Many investors want to benefit from the high growth and promising economic outlook and therefore invest in China equity funds. However, both opportunity and risk factors need to be taken into consideration, and we have concluded that most of the Chinese market’s opportunities can be derived bac...

The purpose of stock portfolio selection is how to allocate the capital to a large number of stocks in order to bring a most profitable return for investors. In most of past literatures, experts considered the portfolio of selection problem only based on past crisp or quantitative data. However, many qualitative and quantitative factors will influence the stock portfolio selection in real inves...

Abstract: It is very important to minimize the risk in portfolio selection. For minimizing risk of portfolio at a given expected returns, it is efficient to compose portfolio with stocks which have low cross-correlation among them. In this regard, forecasting the cross-correlations among stock prices has attracted much interest among investors and financial market researchers. Most of studies i...

Stocks are one of the financial instruments with fluctuating prices that cannot be predicted accurately, so every investor must able to estimate returns and risks investment objectives can achieved. The purpose this study is determine estimated return risk stock through formation an optimal portfolio show resulting capable increasing chances achieving objectives. This research uses stocks liste...

We examine how the evidence of the time-varying volatility in stock returns affects optimal dynamic portfolio choice of investors with long horizons. As return volatility shows a relatively small correlation with realized return, its time-variation is expected to cause little, if any, hedging demand (in the sense of Merton (1973)). However, we find that, once transaction costs are taken into ac...

Major events often trigger abrupt changes in stock prices and volatility.We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Du⁄e, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem. Event risk dramatically a¡ects the optimal strategy. An investor facing event risk is less willing to tak...

We develop a model of portfolio selection with subjective uncertainty and learning in order to explain why some people hold stocks while others don’t. We model heterogeneity in information directly, which is an alternative to the existing explanations that emphasized heterogeneity in transaction costs of investment. Our approach leads to a model of learning with new implications such as zero op...