International diversification of Australian portfolios into emerging markets: Using the copula approach

The objectives of this research are to estimate the potential divesification benefits for an Australian investor in emerging markets; and to develop a new framework for constructing optimal portfolios by incorporating the time-varying and asymmetrical nature of dependence between the asset returns of stock markets.The study uses the investable market index as a separate asset class for each of the markets included in the study, and adopts ex ante and ex post comparisons for robustness