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Conditional Asset Allocation in Emerging Markets

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER); Duke Innovation & Entrepreneurship Initiative

January 1994

NBER Working Paper No. w4623

Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low correlations improve investment opportunities and my research provides out-of-sample validation of the improved performance. However, the most dramatic enhancement is generated by the use of conditioning information. Portfolio strategies that use conditioning information to predict emerging market returns produce impressive out-of-sample performance over the 1980-1992 period.

Number of Pages in PDF File: 48

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Date posted: August 1, 2000  

Suggested Citation

Harvey, Campbell R., Conditional Asset Allocation in Emerging Markets (January 1994). NBER Working Paper No. w4623. Available at SSRN: https://ssrn.com/abstract=226969

Contact Information

Campbell R. Harvey (Contact Author)
Duke University - Fuqua School of Business ( email )
Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)
919-660-8030 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Duke Innovation & Entrepreneurship Initiative ( email )
215 Morris St., Suite 300
Durham, NC 27701
United States

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References:  43
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