Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
Autor(a) principal: | |
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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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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 |
institution |
RCAAP |
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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1799137911176691712 |