Resumen de Portfolio selection and dependence structure in emerging market
Eduardo Pedreira Collazo
Portfolio selection AND dependence structure IN emerging market.
resumen: The underlyinq thread that binds this doctoral dissertation is tha of emerging markets. The first two chapters are devoted to study the effect of the non-normal behavior on the portfolio selection at both industry and country level. The third chapter deals with modelling the dependence structure of six Latin American markets.%&/The first chapter is entitled "Portofolio selection with skewness in emerging markets: industries", in the presence of skewness, portfolio selection requires to consider competing and conflicting objectives.
To overeóme this difficulty polynomial goal programming method (PGP) is used to take into account investors preferences for skewness when optimizing portfolio selection. This paper is concerned with an industry level analysis of the effects of portfolio selection when the skewness is taken into account. The aims of trhis chapter are to provide a critical revisión of the results generated when applying the PGP method to portfolioselection, and to extend the previous research to industry level. The results that the incorporation of skewers into an investor's portfolio decision provokes a great change in the resultant optimal portfolio allocation. This evidence suggests that individuáis trade expected return for skewness. The second chapter is entitled "Portfolio selection with skewness in emerging markets: Countries". This paper is devoted to the same analysis as in the first chapter but at a country level. Here we all so evaluate the portfolio selection with both industries and countries together with the aim to contribute to the diversificaron debate; in general, our empirical results provide support to the industry diversificaron approach. The third chapter is entitled "Modelling dependence in Latin American markets usina copula functions". Two important issues in the analysis of association among financial markets are the degree of dependence and the underlying shape commanding the cross-market dependencies, so that any model used to describe this association must cope with both issues. The first stage is based on modelling the dependence between the returns of two assets by means of a single Archimedean copula, whereas the second one takes advantage of the mixture between copulas to gain the necessary flexibility to capture different tai! dependence patterns. The single copula model allow us to focus on the estimation of the degree of dependence. The second stage is based on modelling the dependence between the returns of two assets using mixture copula models. With the mixture model we iteratively estimate both, the degree and shape ot the dependence. Both stages have been followed in modelling the dependence among the daily returns of six Latin American country Índices, a regional index and a worldwide index. Our findings have important implications of portfolio risk management
