Abstract

ARRIAGA NAVARRETE, Rosalinda; CASTRO OLIVARES, Jorge Eduardo  and  SOSA CASTRO, Miriam. Analysis of investment strategies of international diversification: traditional portfolios vs ETFS. Anál. econ. [online]. 2019, vol.34, n.87, pp.41-70.  Epub Nov 13, 2020. ISSN 2448-6655.

The objective of this paper is to analyze and compare international diversification strategies, using traditional assets (stocks) and exchange traded fund (ETFs) from four different countries: Germany, the United Kingdom, the United States and Mexico; the study period is from January 2012 to April 2018. The hypothesis is that the investment strategy that includes ETFs is more profitable, both because of the nature of these instruments and because of the commissions that are generated through the traditional strategy, in which a greater number of assets is used, in order to diversify the risk of each local market. The methodology implemented consists of the Markowitz model, to obtain the efficient frontier, in addition to the estimation of the Value at Risk (VaR) of each portfolio (traditional vs. ETF).

Keywords : International diversification; investment portfolios; markowitz model; value at risk; ETF.

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