International Portfolio Diversification And The Optimal Frontier Approach
Download International Portfolio Diversification And The Optimal Frontier Approach full books in PDF, epub, and Kindle. Read online free International Portfolio Diversification And The Optimal Frontier Approach ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
International Portfolio Diversification
Author | : Muhammad Khan |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
This study investigated the investment opportunities offered by the frontier equity markets to international portfolio investor. We examine eleven portfolios and efficient frontiers by using the Morgan Stanley Capital International (MSCI) classification of developed, emerging and frontier markets. Allowing exposure to the frontier markets permits international investors to expand combinations in the risk-return space. The results confirms that frontier markets are negatively correlated to the developed and developing countries, offer most optimal risk, and returns combination. These results are consistent both in case of short selling and without short selling. Such findings might be helpful to construct optimal portfolios as well as empirical applications in investment theory.
International Portfolio Diversification
Author | : Theodore Michael Johnson |
Publisher | : |
Total Pages | : 148 |
Release | : 1989 |
Genre | : Business enterprises |
ISBN | : |
Handbook of Portfolio Construction
Author | : John B. Guerard, Jr. |
Publisher | : Springer Science & Business Media |
Total Pages | : 796 |
Release | : 2009-12-12 |
Genre | : Business & Economics |
ISBN | : 0387774394 |
Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
International Portfolio Diversification
Author | : Jorge Braga de Macedo |
Publisher | : |
Total Pages | : 49 |
Release | : 1982 |
Genre | : International finance |
ISBN | : |
Investment Strategies
Author | : Gerhard Wörtche |
Publisher | : diplom.de |
Total Pages | : 77 |
Release | : 2009-11-30 |
Genre | : Business & Economics |
ISBN | : 3836639130 |
Inhaltsangabe:This thesis explains the methodology of the considered investment strategies and demonstrates gradually how they are implemented. Besides the ebook, the purchaser of this article receives also the underlying excel sheets. These excel sheets show without using macros how step-by-step the different strategies are implemented. Introduction: Nowadays the merits of international portfolio diversification are widely acknowledged in the academic literature. The risk reduction of an international portfolio can be achieved because the correlations between international asset markets are rather low compared to a portfolio which entirely consists of national securities. Hence, international investment strategies are superior compared to strategies which invest solely in a local market since they are able to generate a greater return for a certain risk, or less risk for a given return. Beside the advantages of international diversification, the investment in other currencies bears an additional uncertainty that arises through foreign exchange rate fluctuations. However, the development of the exchange rate is not solely a one-sided downside risk; it is also a chance of a higher return since the movement can be in favor of a position. In other words, exchange rate changes have different effects on investors of different currencies. Even if the domestic return is much lower than in other countries, it might be the case that an investment in another state will result in a lower return because of the exchange rate development. Therefore, the residence and the therewith-associated currency of an investor is crucial for the result of an international diversified portfolio. In order to analyze the two risk drivers of an international diversified portfolio separately, the results of the investment strategies are calculated in two ways - with and without the exchange rate development. This method allows evaluating whether exchange rate movements are dispensable or if currency fluctuations are significant for international equity portfolios and therefore the exchange rate risk should be hedged. The choice of the investment strategy should be compatible with the needs, the expectations and the personality of an investor. In many papers utility theory is used to determine an investor s optimal investment strategy. These approaches use utility functions to figure out which strategy fits best to an investor. The methodology of this paper is from another [...]
The Endowment Model of Investing
Author | : Martin L. Leibowitz |
Publisher | : John Wiley & Sons |
Total Pages | : 313 |
Release | : 2010-03-02 |
Genre | : Business & Economics |
ISBN | : 0470608447 |
A cutting-edge look at the endowment model of investing Many larger endowments and foundations have adopted a broadly diversified asset allocation strategy with only a small amount of traditional U.S. equities and bonds. This technique, known as the "endowment model of investing," has demonstrated consistent long-term performance and attracted the attention of numerous institutional and individual investors. With The Endowment Model of Investing Leibowitz, Bova, and Hammond take a closer look at the endowment model with customary research sophistication and attention to detail. Throughout the book, they examine how the model provides truly outstanding real returns, while keeping a close eye on the risks associated with this method of investing. Along the way, the authors offer practical advice on incorporating the endowment model into your own investment endeavors and reveal what it takes to make this method work in the real world. Details the growing debate about the endowment model of investing and discusses how to use it successfully Written by an authority on endowment investing and non-traditional asset allocation strategies Offers expert insights on understanding risk and return in non traditional asset allocation If you want to gain a better grasp of one of the most successful forms of investing, then The Endowment Model of Investing is a book you need to read.
Modern Portfolio Theory, + Website
Author | : Jack Clark Francis |
Publisher | : John Wiley & Sons |
Total Pages | : 576 |
Release | : 2013-01-22 |
Genre | : Business & Economics |
ISBN | : 111837052X |
A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
Portfolio Diversification
Author | : Francois-Serge Lhabitant |
Publisher | : Elsevier |
Total Pages | : 276 |
Release | : 2017-09-26 |
Genre | : Mathematics |
ISBN | : 0081017863 |
Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification