The behavior of MENA oil and non-oil producing countries in international portfolio optimization
It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each...
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| Format: | Article |
| Language: | English |
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Elsevier BV
2010
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| Online Access: | http://psasir.upm.edu.my/id/eprint/22727/ http://psasir.upm.edu.my/id/eprint/22727/1/The%20behavior%20of%20MENA%20oil%20and%20non.pdf |
| _version_ | 1848844563996737536 |
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| author | Mansourfar, Gholamreza Mohamad, Shamser Hassan, Taufiq |
| author_facet | Mansourfar, Gholamreza Mohamad, Shamser Hassan, Taufiq |
| author_sort | Mansourfar, Gholamreza |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs. |
| first_indexed | 2025-11-15T08:32:55Z |
| format | Article |
| id | upm-22727 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:32:55Z |
| publishDate | 2010 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-227272015-10-20T07:41:53Z http://psasir.upm.edu.my/id/eprint/22727/ The behavior of MENA oil and non-oil producing countries in international portfolio optimization Mansourfar, Gholamreza Mohamad, Shamser Hassan, Taufiq It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs. Elsevier BV 2010-11 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22727/1/The%20behavior%20of%20MENA%20oil%20and%20non.pdf Mansourfar, Gholamreza and Mohamad, Shamser and Hassan, Taufiq (2010) The behavior of MENA oil and non-oil producing countries in international portfolio optimization. The Quarterly Review of Economics and Finance, 50 (4). pp. 415-423. ISSN 1062-9769; ESSN: 1878-4259 10.1016/j.qref.2010.06.007 |
| spellingShingle | Mansourfar, Gholamreza Mohamad, Shamser Hassan, Taufiq The behavior of MENA oil and non-oil producing countries in international portfolio optimization |
| title | The behavior of MENA oil and non-oil producing countries in international portfolio optimization |
| title_full | The behavior of MENA oil and non-oil producing countries in international portfolio optimization |
| title_fullStr | The behavior of MENA oil and non-oil producing countries in international portfolio optimization |
| title_full_unstemmed | The behavior of MENA oil and non-oil producing countries in international portfolio optimization |
| title_short | The behavior of MENA oil and non-oil producing countries in international portfolio optimization |
| title_sort | behavior of mena oil and non-oil producing countries in international portfolio optimization |
| url | http://psasir.upm.edu.my/id/eprint/22727/ http://psasir.upm.edu.my/id/eprint/22727/ http://psasir.upm.edu.my/id/eprint/22727/1/The%20behavior%20of%20MENA%20oil%20and%20non.pdf |