International diversification in a correlated world

Detalhes bibliográficos
Autor(a) principal: Heiberg, Ove Gilje
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/27877
Resumo: In this paper I look at the correlation between developed and emerging markets, arguing that the increased correlation has reduced the potential benefits of international diversification. Furthermore, I look at markets that still seem to be highly uncorrelated to developed markets, and how to more efficiently include these in a global portfolio. By ranking emerging markets based on their 12 month rolling correlation coefficient to the MSCI World Index, the country weightings are determined. A global portfolio with different constraints is then created to demonstrate that investors can boost risk adjusted performance by using a more selective correlation based investment approach.
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spelling International diversification in a correlated worldEmerging marketsInternational diversificationMarket correlationDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn this paper I look at the correlation between developed and emerging markets, arguing that the increased correlation has reduced the potential benefits of international diversification. Furthermore, I look at markets that still seem to be highly uncorrelated to developed markets, and how to more efficiently include these in a global portfolio. By ranking emerging markets based on their 12 month rolling correlation coefficient to the MSCI World Index, the country weightings are determined. A global portfolio with different constraints is then created to demonstrate that investors can boost risk adjusted performance by using a more selective correlation based investment approach.Boons, MartijnRUNHeiberg, Ove Gilje2020-09-30T00:30:28Z2017-06-302017-06-30T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/27877TID:201753235enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:14:49Zoai:run.unl.pt:10362/27877Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:48.037541Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv International diversification in a correlated world
title International diversification in a correlated world
spellingShingle International diversification in a correlated world
Heiberg, Ove Gilje
Emerging markets
International diversification
Market correlation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short International diversification in a correlated world
title_full International diversification in a correlated world
title_fullStr International diversification in a correlated world
title_full_unstemmed International diversification in a correlated world
title_sort International diversification in a correlated world
author Heiberg, Ove Gilje
author_facet Heiberg, Ove Gilje
author_role author
dc.contributor.none.fl_str_mv Boons, Martijn
RUN
dc.contributor.author.fl_str_mv Heiberg, Ove Gilje
dc.subject.por.fl_str_mv Emerging markets
International diversification
Market correlation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Emerging markets
International diversification
Market correlation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description In this paper I look at the correlation between developed and emerging markets, arguing that the increased correlation has reduced the potential benefits of international diversification. Furthermore, I look at markets that still seem to be highly uncorrelated to developed markets, and how to more efficiently include these in a global portfolio. By ranking emerging markets based on their 12 month rolling correlation coefficient to the MSCI World Index, the country weightings are determined. A global portfolio with different constraints is then created to demonstrate that investors can boost risk adjusted performance by using a more selective correlation based investment approach.
publishDate 2017
dc.date.none.fl_str_mv 2017-06-30
2017-06-30T00:00:00Z
2020-09-30T00:30:28Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/27877
TID:201753235
url http://hdl.handle.net/10362/27877
identifier_str_mv TID:201753235
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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