Active portfolio management adapted for the emerging markets
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011.
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| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2011
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| Online Access: | http://hdl.handle.net/1721.1/65814 |
| _version_ | 1826188545935540224 |
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| author | Nam, Dohyen |
| author2 | S.P. Kothari. |
| author_facet | S.P. Kothari. Nam, Dohyen |
| author_sort | Nam, Dohyen |
| collection | MIT |
| description | Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. |
| first_indexed | 2024-09-23T08:01:22Z |
| format | Thesis |
| id | mit-1721.1/65814 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T08:01:22Z |
| publishDate | 2011 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/658142019-04-09T16:08:03Z Active portfolio management adapted for the emerging markets Active portfolio management in the emerging market Nam, Dohyen S.P. Kothari. Sloan School of Management. Sloan School of Management. Sloan School of Management. Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. Cataloged from PDF version of thesis. Page 100 blank. Includes bibliographical references (p. 95-99). In the emerging markets with a fast growing economy but a not quite efficient capital market, investors try to find a constant excess return against the benchmark from active portfolio management. In this paper, after defining what an active portfolio is, we tested various alpha generating strategies empirically in the emerging markets and reviewed possible asset allocation models as implementation methods for those alpha generating strategies. For finding adaptable alpha strategies for the emerging markets, an empirical study was carried out for four possible alpha generating strategies - value and growth strategy, Fama- French multi-factor strategy, residual earning strategy, and momentum strategy - in 14 emerging countries. The results from alpha testing for fundamental strategies showed a positive correlation between the alpha return and the multi-factor used in size and book-to-market ratio in most Asian countries. Also, the results for technical strategy commonly showed mean-reversion effect in the short run in most emerging countries. Following this empirical test results, we discussed the two possible asset allocation models adapted for active portfolio management to implement alpha generating strategy: Treynor- Black Model and Black-Litterman Model. These two models allow us to input the alpha return and risk obtained by the empirical test results in order to complete active portfolio management. Finally, we expect the completion for active portfolio management adapted for the emerging markets with the empirical test results and the implementation methods. by Dohyen Nam. S.M. 2011-09-13T17:56:12Z 2011-09-13T17:56:12Z 2011 2011 Thesis http://hdl.handle.net/1721.1/65814 750609635 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 100 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Nam, Dohyen Active portfolio management adapted for the emerging markets |
| title | Active portfolio management adapted for the emerging markets |
| title_full | Active portfolio management adapted for the emerging markets |
| title_fullStr | Active portfolio management adapted for the emerging markets |
| title_full_unstemmed | Active portfolio management adapted for the emerging markets |
| title_short | Active portfolio management adapted for the emerging markets |
| title_sort | active portfolio management adapted for the emerging markets |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/65814 |
| work_keys_str_mv | AT namdohyen activeportfoliomanagementadaptedfortheemergingmarkets AT namdohyen activeportfoliomanagementintheemergingmarket |