株式と外国為替取引のジャーナル
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概要

Risk and Return to Investment in Five Emerging Nations: A Mathematica Simulation

Mohammad R. Safarzadeh, Fatemeh Ibrahimi Nazarian

This paper compares the Mathematica simulations of optimum allocation ratios derived from the application of Modern Portfolio Theory to historical data of five emerging nations with the actual allocations as presented in MSCI BRIC Index Fund (BKE) and Emerging Markets Index Fund (EEM). The paper finds that the BKE and EEM allocations of funds are not consistent with the optimum allocations of funds derived from the Mathematica simulation whether the risk of exchange rate volatility is factored in or not.