Role of mortgage backed securities in a diversified portfolio under the mean- variance framework

Detalhes bibliográficos
Autor(a) principal: Benthin, Benedikt
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/10362/26968
Resumo: In light of the negative reputation of mortgage backed securities (MBS) due to the subprime crisis and considering the swift recovery of the US real estate market since the crisis, the role of MBS in a mean-variance optimized portfolio is assessed. Excellent diversification benefits as well as attractive risk/ return attributes of agency- MBS are discovered leading to persistently biased allocations towards agency-MBS in a mixed portfolio with equities, bonds, MBS as well as real estate indices and excellent diversification capabilities are revealed in mixed portfolios combining agency-MBS with direct real estate investments.
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spelling Role of mortgage backed securities in a diversified portfolio under the mean- variance frameworkMortgage backed securitiesDiversificationPortfolio optimizationReal estate investmentsDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn light of the negative reputation of mortgage backed securities (MBS) due to the subprime crisis and considering the swift recovery of the US real estate market since the crisis, the role of MBS in a mean-variance optimized portfolio is assessed. Excellent diversification benefits as well as attractive risk/ return attributes of agency- MBS are discovered leading to persistently biased allocations towards agency-MBS in a mixed portfolio with equities, bonds, MBS as well as real estate indices and excellent diversification capabilities are revealed in mixed portfolios combining agency-MBS with direct real estate investments.Prado, MelissaRUNBenthin, Benedikt2017-12-19T13:29:32Z2017-09-202017-09-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/26968TID:201753243enginfo: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:RCAAP2024-03-11T04:14:12Zoai:run.unl.pt:10362/26968Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:35.278511Repositório 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 Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
title Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
spellingShingle Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
Benthin, Benedikt
Mortgage backed securities
Diversification
Portfolio optimization
Real estate investments
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
title_full Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
title_fullStr Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
title_full_unstemmed Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
title_sort Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
author Benthin, Benedikt
author_facet Benthin, Benedikt
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Benthin, Benedikt
dc.subject.por.fl_str_mv Mortgage backed securities
Diversification
Portfolio optimization
Real estate investments
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Mortgage backed securities
Diversification
Portfolio optimization
Real estate investments
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description In light of the negative reputation of mortgage backed securities (MBS) due to the subprime crisis and considering the swift recovery of the US real estate market since the crisis, the role of MBS in a mean-variance optimized portfolio is assessed. Excellent diversification benefits as well as attractive risk/ return attributes of agency- MBS are discovered leading to persistently biased allocations towards agency-MBS in a mixed portfolio with equities, bonds, MBS as well as real estate indices and excellent diversification capabilities are revealed in mixed portfolios combining agency-MBS with direct real estate investments.
publishDate 2017
dc.date.none.fl_str_mv 2017-12-19T13:29:32Z
2017-09-20
2017-09-20T00:00:00Z
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/10362/26968
TID:201753243
url http://hdl.handle.net/10362/26968
identifier_str_mv TID:201753243
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
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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
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