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Book Chapter
Portfolio Construction
2020
Overview
There has been a fair amount of criticism with respect to fixed‐income benchmarks in recent years. Higher index weights force indexed investors to add the most money to bonds of countries where debt is rising the fastest. This makes it easier for profligate governments to avoid necessary fiscal adjustments. Frontier markets refer to the less developed capital markets in the emerging world. They are often used to generate alpha by adding them as off‐benchmark positions to the portfolio. It is well known that the Markowitz mean variance framework does not work overly well in practice. It commonly produces corner solutions that are difficult (and risky) to implement. In this chapter, the authors analyse several other contenders for portfolio allocation and apply these techniques to EMFX. They pick EMFX because it is the most liquid of the emerging market asset classes under consideration, and also one of the more volatile.
Publisher
John Wiley & Sons, Incorporated,John Wiley & Sons, Inc
Subject
ISBN
9781119598992, 1119598990
