A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens

Journal of Risk and Financial Management

Alexander Eptas¹ 

[1] Department of Economics, Loughborough University, Leicestershire, UK

关键词: Mean-variance;    financial crisis;    diversification;    safe havens;   

DOI  :  10.3390/jrfm3010097

来源: mdpi

【 摘 要 】

We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock index data for a sample of developed, advanced-emerging and emerging countries. ‘Text-book’ results are obtained for the pre-crisis analysis with the optimal portfolio for any risk-averse investor being obtained as the tangency portfolio of the All-Country portfolio frontier. During the crisis there is a disjunction between bank lending and stock markets revealed by negative average returns and an absence of any empirical Capital Market Line. Israel and Colombia emerge as the safest havens for any investor during the crisis. For Israel this may reflect the protection afforded by special trade links and diaspora support, while for Colombia we speculate that this reveals the impact on world financial markets of the demand for cocaine.

【 授权许可】

CC BY   
This is an open access article distributed under the Creative Commons Attribution License (CC BY) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.