Time-varying benefits of cross-asset and cross-region portfolio diversification

Detalhes bibliográficos
Autor(a) principal: Gorny, Moritz
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/10362/26979
Resumo: The thesis uses return data on equities, bonds, commodities and real estate for the U.S., Europe, Asia and Latin America to examine diversification potentials. The analysis focuses on benefits of cross-asset and cross-region diversification as well as the impact of financial distress on those strategies and portfolio performances. It concludes that diversification benefits vary over time and decrease in bear markets due to higher correlation. Investment grade bonds and gold have shown the highest diversification benefits for equity investors during financial distress. Assets from emerging markets seem to be less sensitive to global market drops and show more constant performances.
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spelling Time-varying benefits of cross-asset and cross-region portfolio diversificationDiversificationCross-AssetCross-CountryCorrelationDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe thesis uses return data on equities, bonds, commodities and real estate for the U.S., Europe, Asia and Latin America to examine diversification potentials. The analysis focuses on benefits of cross-asset and cross-region diversification as well as the impact of financial distress on those strategies and portfolio performances. It concludes that diversification benefits vary over time and decrease in bear markets due to higher correlation. Investment grade bonds and gold have shown the highest diversification benefits for equity investors during financial distress. Assets from emerging markets seem to be less sensitive to global market drops and show more constant performances.Prado, MelissaOliveira, JoelsonRUNGorny, Moritz2017-12-19T15:17:06Z2017-09-202017-09-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/26979TID:201753278enginfo: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:RCAAP2024-03-11T04:14:13Zoai:run.unl.pt:10362/26979Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:35.801730Repositório 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 Time-varying benefits of cross-asset and cross-region portfolio diversification
title Time-varying benefits of cross-asset and cross-region portfolio diversification
spellingShingle Time-varying benefits of cross-asset and cross-region portfolio diversification
Gorny, Moritz
Diversification
Cross-Asset
Cross-Country
Correlation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Time-varying benefits of cross-asset and cross-region portfolio diversification
title_full Time-varying benefits of cross-asset and cross-region portfolio diversification
title_fullStr Time-varying benefits of cross-asset and cross-region portfolio diversification
title_full_unstemmed Time-varying benefits of cross-asset and cross-region portfolio diversification
title_sort Time-varying benefits of cross-asset and cross-region portfolio diversification
author Gorny, Moritz
author_facet Gorny, Moritz
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
Oliveira, Joelson
RUN
dc.contributor.author.fl_str_mv Gorny, Moritz
dc.subject.por.fl_str_mv Diversification
Cross-Asset
Cross-Country
Correlation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Diversification
Cross-Asset
Cross-Country
Correlation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The thesis uses return data on equities, bonds, commodities and real estate for the U.S., Europe, Asia and Latin America to examine diversification potentials. The analysis focuses on benefits of cross-asset and cross-region diversification as well as the impact of financial distress on those strategies and portfolio performances. It concludes that diversification benefits vary over time and decrease in bear markets due to higher correlation. Investment grade bonds and gold have shown the highest diversification benefits for equity investors during financial distress. Assets from emerging markets seem to be less sensitive to global market drops and show more constant performances.
publishDate 2017
dc.date.none.fl_str_mv 2017-12-19T15:17:06Z
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/10362/26979
TID:201753278
url http://hdl.handle.net/10362/26979
identifier_str_mv TID:201753278
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
repository.mail.fl_str_mv
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