Downside-risk approach to portfolio optimization : an application to U.S. and regional stock markets

Abstract

As international equity markets moved into liberalization over the past years, increasing number of investment opportunities are made available to investors all over the world. In view of this trend, investors have a wider choice of selection of stocks from both developed and newly emerging markets. International diversification, particularly in emerging countries like Singapore, Malaysia, Hong Kong, Thailand and so on, is capable of providing global investors with higher overall portfolio returns as well as lower overall exposure to unsystematic risk.