Portfolio Construction in Emerging Markets

Download or read book Portfolio Construction in Emerging Markets written by Mika Vaihekoski and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolios are commonly used in finance literature to study asset pricing models. In business practice portfolios are often used to detect abnormal performance or to construct reference assets. However, analysis on practical issues related to return measurement and portfolio construction is surprisingly scarce, especially on smaller and/or emerging stock markets. Namely, these stock markets often share common features like low liquidity, multiple stock series, and changes in foreign ownership restriction that greatly affect portfolio construction. This paper presents and discusses issues related to portfolio return calculation from theoretical and practical perspectives.