Volume 15 | Issue 1 | Article 4
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Markowitz-Sharpe Portfolios for International Stock Index Futures
Naïve diversification across international stock markets reduces risk. We employ stock index futures contracts to overcome the problems associated with using cash indexes. Markowitz and Sharpe procedures are used to determine the effect of risk-return optimization techniques on the diversification issue compared to a naively weighted portfolio that only includes risk. Finally, we examine the effect of diversification on the skewness and kurtosis of the resultant portfolios.
