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 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.
Publication date: August 2001
ISBN: 9781451853476
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asset allocation , portfolio choice , contagion , statistic , risk aversion , optimization , correlation , covariance

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