The aim of this paper is twofold. It is first to evaluate the comparative performance of ten MENA (Middle East and North Africa) countries according to GDP growth and stock market return indicators using the non-parametric stochastic dominance approach. We will then use a multivariate vector...

The aim of this paper is to investigate the behavior of international equity returns and correlations using the discrete-time Markov-switching model and the impact of this behavior on international portfolio choices. We take the perspective of a US-based global investor who considers investment...

The objective of this paper is to investigate the behavior of the time varying volatility in eleven MENA countries' stock market using a three-state Markov regime-switching model over the period from October 30, 2006 to October 21, 2011. We find that MENA stock market volatility can be...

The objective of this paper is to evaluate the relative attractiveness of seven MENA countries (Algeria, Egypt, Iran, Saudi Arabia, Morocco, Tunisia and Turkey) as a location for foreign portfolio investment (FPI) from the G7 investors' viewpoints over the period 2001-2005. We suggest a...

The aim of this paper is to develop an integrated multiple criteria decision making approach combining the analytic hierarchy process (AHP) and the goal programming (GP) model to study the impact of a mixture of investment barriers on international portfolio selection, and therefore the home...

The purpose of this paper is to study the portfolio choice problem in the presence of a mixture of barriers to international investment from the view point of G-7 investors. We suggest a methodology based on a combination of the Analytic Hierarchy Process (AHP) and the weighted goal programming...