اول ایمنی در بهینه سازی سبد سرمایه گذاری برای سرمایه گذاران ایالات متحده در بازارهای جهانی، آسیایی و آمریکای لاتین

Risk averse US investors with safety-first objectives in portfolio optimization hold small weights (maximum 10%) in emerging markets when constructing portfolios of the Standard and Poor's 500 (SP), and the Emerging Markets Composite Global (CG), Asia (AS) and Latin American (LA) indexes, respectively. The Composite Global and Asia weights are even smaller than their minimum variance weights. Yet, these optimal safety-first portfolios are dominant in terms of risk and return over the global minimum or higher variance portfolios. In contrast, safety-first optimization for Latin America is hardly different from the minimum variance and not clearly dominant over other mean–variance portfolios. Overall, safety-first limits portfolio losses associated with infrequent catastrophic events and otherwise optimize performance.

Safety-first limits the risks of bad outcomes and may be an appropriate portfolio construction strategy for risk averse safety-first US investors in volatile emerging markets. Classical safety-first approaches by Roy, Kataoka and Telser fail to order risky assets, but subsequent work by Arzac and Bawa, and Janson, Koedijk and De Vries operationalize safety-first for portfolio selection. The present study applies this approach for US investors in emerging markets using the International Finance Corporation Emerging Markets Composite Global, Asia and Latin America indexes from 1988 to 1998. US investors optimally hold small weights in emerging markets when constructing safety-first portfolios. The safety-first weights are much smaller in the Composite Global (5%) and Asia (0%) indexes than even their traditional global minimum variance weights (30.50% and 21.35%, respectively). When using longer histories as recommended by Stambaugh (1997), the safety-first Composite Global weight is even smaller (0%), and the traditional global minimum variance weights higher for the Composite Global and Asia indexes (60% and 50%, respectively). Substantial differences exist between safety-first and mean–variance for the Composite Global and Asia emerging markets, with their optimal safety-first portfolios even dominant over their global minimum variance portfolios or others with higher weight in these markets. In contrast, the optimal safety-first weight for Latin America (10%) is close to its traditional minimum variance weight (9.50%), and optimal safety-first is not clearly dominant over other mean–variance portfolios with higher weight in Latin America. However, for the longer histories, the safety-first weight for Latin America rises to 60% and its global minimum variance weight to 20%. In this case, safety-first is not clearly dominant over the global minimum variance. The safety-first results in general seem to be robust to backcasting the short lived emerging market data to the longer history SP 500 data using Stambaugh's method, except for Latin America. Overall, throughout all emerging markets studied, safety-first rules accomplish their goal of limiting portfolio losses associated with catastrophic events that generally have low probabilities of occurring to pre-specified levels. Further research should examine the safety-first portfolio construction of emerging market investors in the US in their local currencies.