Risk Management of Internationally Diversified Portfolio

Thesis title: Risk Management of Internationally Diversified Portfolio
Author: Birlik, Merve
Thesis type: Diploma thesis
Supervisor: Poborský, František
Opponents: Ajrapetova, Tamara
Thesis language: English
Abstract:
This thesis focuses on portfolio performance on internationally diversified portfolio. We constructed simulated a portfolio, where diversified into two advanced markets and two emerging markets. We also discuss risk management and portfolio management essentials in these papers. Simulated portfolio is equally weighted over the four countries namely Eurozone, United States, Brazil and South-Africa by including their indices such as. The sample has been chosen over a period of five years: from the begging of 2013 to end of 2017. The goal of the simulation is to express performance of international diversified portfolio with strategies with or without hedging foreign currency exposure with forward contracts by eurozone investor point of view. We additionally mentioned correlations and its influences over portfolio, monthly behaviour performances of indices and currency indexes respect to risk and return perfective, as well as hedging strategies and regret ratio over it. We have simulated performances from the portfolios with sharpe ratio that we build with those mentioned indices under four cases such as, domestic investment, diversified but not hedged, diversifies and %50 hedge, and diversified %100 hedge portfolio.
Keywords: risk management; portfolio construction theory; investment strategies
Thesis title: Risk management of Internationally Diversified Portfolio
Author: Birlik, Merve
Thesis type: Diplomová práce
Supervisor: Poborský, František
Opponents: Ajrapetova, Tamara
Thesis language: English
Abstract:
This thesis focuses on portfolio performance on internationally diversified portfolio. We constructed simulated a portfolio, where diversified into two advanced markets and two emerging markets. We also discuss risk management and portfolio management essentials in these papers. Simulated portfolio is equally weighted over the four countries namely Eurozone, United States, Brazil and South-Africa by including their indices such as. The sample has been chosen over a period of five years: from the begging of 2013 to end of 2017. The goal of the simulation is to express performance of international diversified portfolio with strategies with or without hedging foreign currency exposure with forward contracts by eurozone investor point of view. We additionally mentioned correlations and its influences over portfolio, monthly behaviour performances of indices and currency indexes respect to risk and return perspective, as well as hedging strategies and regret ratio over it. We have simulated performances from the portfolios with Sharpe ratio that we build with those mentioned indices under four cases such as, domestic investment, diversified but not hedged, diversifies and %50 hedge, and diversified %100 hedge portfolio.
Keywords: risk management; poretfolio constrcution theory; investment strategies

Information about study

Study programme: Finance and Accounting
Type of study programme: Magisterský studijní program
Assigned degree: Ing.
Institutions assigning academic degree: Vysoká škola ekonomická v Praze
Faculty: Faculty of Finance and Accounting
Department: Department of Corporate Finance

Information on submission and defense

Date of assignment: 27. 11. 2017
Date of submission: 30. 5. 2018
Date of defense: 14. 6. 2018
Identifier in the InSIS system: https://insis.vse.cz/zp/64011/podrobnosti

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