Risk Management of Internationally Diversified Portfolio
Thesis title: | Risk Management of Internationally Diversified Portfolio |
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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 |
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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 |
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Date of submission: | 30. 5. 2018 |
Date of defense: | 14. 6. 2018 |
Identifier in the InSIS system: | https://insis.vse.cz/zp/64011/podrobnosti |