Investment Restrictions and Contagion in Emerging Markets

Preprint OPEN
Anna Ilyina (2005)
  • Subject: Emerging markets;Investment;Investment restrictions, Contagion, investors, asset markets, institutional investors, mutual funds,

The objectives of this paper are: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and investment res... View more
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