Analyzing Risks and Returns in Emerging Equity Markets

Abstract

This study applies an operations research technique, Data Envelopment Analysis (DEA) on emerging equity market returns. Sharpe and Treynor measures focus only one risk aspect of portfolio return and in reality investors consider several alternative risk measures outside the traditional mean-variance framework. DEA is a multivariate approach that can incorporate multiple risk characteristics that may be equally important for the investor's decision to allocate assets to emerging markets, the risk and performance relationships are explored in a multivariate framework.