The Effectiveness of the Dogs of the Dow Investment Strategy in Emerging Capital Markets

This paper will describe, analyze and empirically test the "Dogs of the Dow" investment strategy based on the theory of signal dividend payments. When using this strategy, the portfolio includes shares with the maximum dividend yield, which belong to the category of so-called value shares, since they are significantly undervalued by the market and are traded at a discount in relation to their fair intrinsic value. Moreover, the "Dogs of the Dow" strategy will be tested on data from two of Asia's leading emerging markets - Taiwan and China, which will be in the focus of investors' attention in the current year. The novelty of this work is the implementation of the portfolio optimization procedure based on the provisions of the modern portfolio theory. This procedure will be carried out using the Python programming language using Monte Carlo simulations.