Cover Image

The behavior of MENA oil and non-oil producing countries in international portfolio optimization

It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each...

Full description

Saved in:
Bibliographic Details
Main Authors: Mansourfar, Gholamreza, Mohamad, Shamser, Hassan, Taufiq
Format: Article
Language:English
Published: Elsevier BV 2010
Online Access:http://psasir.upm.edu.my/id/eprint/22727/1/The%20behavior%20of%20MENA%20oil%20and%20non.pdf
http://psasir.upm.edu.my/id/eprint/22727/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.upm.eprints.22727
record_format eprints
spelling my.upm.eprints.227272015-10-20T07:41:53Z http://psasir.upm.edu.my/id/eprint/22727/ The behavior of MENA oil and non-oil producing countries in international portfolio optimization Mansourfar, Gholamreza Mohamad, Shamser Hassan, Taufiq It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs. Elsevier BV 2010-11 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22727/1/The%20behavior%20of%20MENA%20oil%20and%20non.pdf Mansourfar, Gholamreza and Mohamad, Shamser and Hassan, Taufiq (2010) The behavior of MENA oil and non-oil producing countries in international portfolio optimization. The Quarterly Review of Economics and Finance, 50 (4). pp. 415-423. ISSN 1062-9769; ESSN: 1878-4259 10.1016/j.qref.2010.06.007
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs.
format Article
author Mansourfar, Gholamreza
Mohamad, Shamser
Hassan, Taufiq
spellingShingle Mansourfar, Gholamreza
Mohamad, Shamser
Hassan, Taufiq
The behavior of MENA oil and non-oil producing countries in international portfolio optimization
author_facet Mansourfar, Gholamreza
Mohamad, Shamser
Hassan, Taufiq
author_sort Mansourfar, Gholamreza
title The behavior of MENA oil and non-oil producing countries in international portfolio optimization
title_short The behavior of MENA oil and non-oil producing countries in international portfolio optimization
title_full The behavior of MENA oil and non-oil producing countries in international portfolio optimization
title_fullStr The behavior of MENA oil and non-oil producing countries in international portfolio optimization
title_full_unstemmed The behavior of MENA oil and non-oil producing countries in international portfolio optimization
title_sort behavior of mena oil and non-oil producing countries in international portfolio optimization
publisher Elsevier BV
publishDate 2010
url http://psasir.upm.edu.my/id/eprint/22727/1/The%20behavior%20of%20MENA%20oil%20and%20non.pdf
http://psasir.upm.edu.my/id/eprint/22727/
_version_ 1643827880134705152
score 13.211869

Similar Items