Portfolio Construction in Emerging Markets
Posted: 26 Sep 2001 Last revised: 11 Aug 2009
Abstract
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.
JEL Classification: G10
Suggested Citation: Suggested Citation