Essays about: "International asset allocation"

Showing result 1 - 5 of 8 essays containing the words International asset allocation.

  1. 1. Alternative Methods of Estimating Investor´s Risk Appetite

    University essay from KTH/Matematisk statistik

    Author : Felix Kuritzén; [2019]
    Keywords : Risk appetite; Riskaptit;

    Abstract : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. READ MORE

  2. 2. Volatility and Contagion Effect from US and GIIPS to the Largest European Economies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Nerea Landa Vallejo; [2016]
    Keywords : contagion; GIIPS; subprime; eurozone; spillover; Business and Economics;

    Abstract : This research paper explores the nature of the mean and volatility spillovers from the US and aggregate GIIPS to the largest GDP countries for the EMU and non-EMU countries. I develop a three step univariate volatility spillover model followed by Christiansen (2007) and Ng (2000) to analyze the relevance of local (own country), regional (aggregate GIIPS) and global (US) shocks. READ MORE

  3. 3. A quantitative study of optimal asset allocation in a mean-CVaR & mean-variance framework

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Marcus Nilsson; [2014]
    Keywords : ;

    Abstract : Optimal portfolio selection has been an area of great focus ever since the inception of modern portfolio theory as proposed by Harry Markowitz. This project has applied Markowitz modern portfolio theory to an invest- ment universe created from the output of an economic scenario genera- tor. READ MORE

  4. 4. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Daniil Bargman; [2013]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE

  5. 5. Mixed-Asset Portfolio Optimization with Private and Public Hotel Real Estate

    University essay from KTH/Fastigheter och byggande; KTH/Fastigheter och byggande

    Author : Kwamie Williams; James Wippel; [2013]
    Keywords : Mixed-asset portfolio; modern portfolio theory; hotel; real estate; property; REIT;

    Abstract : There has been a renewed interest by international institutional investors in the US hotel property market and increased interest in Real Estate Investment Trusts. One challenge these investors face is if it is feasible to simultaneously invest in a specific property type, both privately and publicly. READ MORE