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I am looking for references highlighting the differences between the developed market (e.g., US) and frontier market (e.g., Vietnam) in portfolio construction (e.g., Markowitz's mean-variance optimization model).

I have some angles but I am not sure with angles I should follow:

  1. Listing some different features between frontier and developed stock markets and listed some portfolio construction models succeed in developed market but frontier stock market.

  2. Finding references listing the difficulties in portfolio construction in different market settings.

The two specific stock markets I want to compare are the US and Vietnam.

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  • $\begingroup$ Isn't the Markowitz model just concerned about risk (variance) and return (mean), in which case it doesn't matter what country you look at. $\endgroup$
    – Alex
    Aug 22, 2022 at 5:43

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