%0 Journal Article 
%T Optimal Portfolio allocation for latin American stock indices
%D 2010
%@ 0120-3592
%U http://hdl.handle.net/10906/79797
%X This article uses four methods to derive optimal portfolios comprising inves
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tments in the seven most representative stock exchanges in Latin America from 
2001 to 2006 and it studies their composition and stability through time. The first 
method uses a historical variance – covariance matrix and the second one em
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ploys a semi-variance – semi-covariance matrix. The third method consists of an 
exponentially weighted moving average and the fourth and last method applies 
resampling. From a practical point of view, this result is significant because less 
rebalancing can mean greater potential savings. The article further analyzes the 
performance of optimal portfolios as compared to equally weighted portfolios. The 
results of applying the Sharpe ratio in the out-of-sample period provided no evi
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dence of statistically significant differences between optimal portfolios and equally 
weighted portfolios. However, some evidence is provided in favor of resampling 
as the returns obtained in the out-of-sample period showed stochastic dominance 
over the returns of the portfolios estimated using more traditional methodologie
%K Economía
%K Negocios y management
%K Economics
%K Business
%K Portafolio
%K Inversión
%K Mercados
%~ GOEDOC, SUB GOETTINGEN