@article {Chan-Lau140, author = {Jorge A. Chan-Lau}, title = {Frontier Markets: Punching Below Their Weight? A Risk Parity Perspective on Asset Allocation }, volume = {21}, number = {3}, pages = {140--149}, year = {2012}, doi = {10.3905/joi.2012.21.3.140}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Are frontier markets the next emerging markets? And if so, should global equity investors include them in their portfolios? From a risk parity perspective, investors could benefit from a frontier markets allocation well in excess of the market weight of the asset class. A risk parity portfolio tends to outperform a market cap{\textendash}weighted portfolio during periods of positive equity returns and deliver comparable returns during crisis periods. Even if portfolio managers could not follow a risk parity asset-allocation strategy due to benchmark tracking considerations, overweighting frontier markets could help them outperform their benchmarks during upside periods without increasing downside risks significantly.TOPICS: Frontier, equity portfolio management, global}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/21/3/140}, eprint = {https://joi.pm-research.com/content/21/3/140.full.pdf}, journal = {The Journal of Investing} }