Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/178526 
Year of Publication: 
2010
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 3 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2010 [Pages:] 97-117
Publisher: 
MDPI, Basel
Abstract: 
We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial crisis by evaluating the potential benefits of international diversification in the search for 'safe havens'. We use stock index data for a sample of developed, advanced-emerging and emerging countries. 'Text-book' results are obtained for the pre-crisis analysis with the optimal portfolio for any risk-averse investor being obtained as the tangency portfolio of the All-Country portfolio frontier. During the crisis there is a disjunction between bank lending and stock markets revealed by negative average returns and an absence of any empirical Capital Market Line. Israel and Colombia emerge as the safest havens for any investor during the crisis. For Israel this may reflect the protection afforded by special trade links and diaspora support, while for Colombia we speculate that this reveals the impact on world financial markets of the demand for cocaine.
Subjects: 
Mean-Variance
Financial Crisis
Diversification
Safe Havens
JEL: 
G00
G11
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-sa Logo
Document Type: 
Article

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