Download or read book How to Measure the Returns to be Expected from International Portfolio Diversification written by Edmund H. Mantell and published by . This book was released on 1982 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Beyond Diversification What Every Investor Needs to Know About Asset Allocation written by Sebastien Page and published by McGraw Hill Professional. This book was released on 2020-11-10 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generate solid, long-term profits with a portfolio allocated for your investing needs Asset allocation is the key to investing performance. Unfortunately, no single approach works perfectly—developing the right balance requires a clear-eyed look at the many models available to you, various investing methodologies, and your or your client’s level of risk tolerance. And that’s where this important guide comes in. Written by a leading allocation expert from T. Rowe Price, Beyond Diversification provides the knowledge, insights, and approaches you need to make the best allocation decisions for your goals. This deep dive into the how’s and why’s of asset allocation is organized by the three decisive components of a successfully allocated portfolio: Return Forecasting discusses the desired return investors seek. Risk Forecasting covers the level of risk investors are prepared to assume to achieve that return. Portfolio Construction calibrates the stock-bond mix that balances the risks and returns. With examples from T. Rowe Price’s asset allocation team showing you how the process works in the real world, Beyond Diversification provides everything you need to find the asset combination that will deliver the results you seek. You’ll learn how to choose the right tradeoffs, build the most effective asset allocation combination for your needs, and dramatically increase your odds of success for the long run.

Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification

Download or read book Three Essays in International Portfolio Diversification written by Amir Andrew Amadi and published by . This book was released on 2004 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Portfolio Diversification written by Frans de Roon and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not detect significant differences between country, industry and world portfolios, nor any role for currency risk factors. However, when we allow expected returns, volatilities and correlations to vary over time, we find that equity returns are mainly driven by global industry and currency risk factors. We propose a novel test to evaluate the relative benefits of alternative investment strategies and find that including currencies is critical to take full advantage of the diversification benefits afforded by international markets.

Download or read book Diversification and Portfolio Management of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-17 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance. This book is a crucial tool for any investor looking to improve the profit gain from their investment.

Download or read book Summary of Sebastien Page s Beyond Diversification written by Everest Media, and published by Everest Media LLC. This book was released on 2022-05-18T22:59:00Z with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Please note: This is a companion version & not the original book. Sample Book Insights: #1 Investing is about forecasting returns. It is hard to call yourself an investor if you don’t think you have insights about expected returns. There are many ways to estimate expected returns, from fundamental to quantitative approaches and everything in between. #2 The challenge of combining fundamental and quantitative approaches is how to marry them. I will make suggestions in this chapter. #3 The capital asset pricing model is a basic way to estimate expected returns for investors. It links expected returns to an objective measure of risk and current interest rate levels. However, there are issues with the model. #4 The Capital Asset Pricing Model is a theory that was developed to explain the relationship between risk and return, but it has been criticized for its flaws. It was developed by Nobel Prize winners William Sharpe and John Markowitz, but many academics have argued that it is flawed.

Download or read book International Portfolio Diversification written by Theodore Michael Johnson and published by . This book was released on 1989 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Portfolio Diversification and Returns Correlation written by Ju Hyun Pyun and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation attempts to explain one of the diversification puzzles in international macro-finance, and develops specification tests for the fixed effects econometric models that are widely used in international economics. The first two chapters shed light on an understudied aspect of the 'international portfolio diversification puzzle': not only do investors diversify too little abroad, but when they invest abroad, they prefer a country with less diversification benefit. Recent empirical evidence has suggested that countries that have higher stock return correlation also have higher bilateral financial asset holdings (Portes and Rey 2005, Aviat and Coeurdacier 2007, and Lane and Milesi-Ferretti 2008). The first chapter of my dissertation argues that understanding this puzzling empirical finding requires a multi-county perspective theoretically. I begin by constructing an N-country DSGE model with heterogeneous stock return correlations. The N-country model shows that the effect of stock return correlation on bilateral asset holdings depends upon the stock return correlation with the other countries. It also shows that the overall level of equity home bias depends on the heterogeneous stock return correlations among all countries. In the second chapter, I tested the prediction on portfolio choice with a large data set on international equity holdings. The empirical result controlling for the multilateral stock return correlations with other countries overturns the result of preceding literature, and confirms that a higher stock return correlation lowers bilateral equity asset holdings as theory predicts. In the third chapter, I evaluated econometric methodologies that I used in the first two chapters. The country-pair fixed effects (pair FE) model is one of the commonly used models in cross-country panel research as it yields consistent parameter estimates by capturing unobserved country-pair specific heterogeneity that may be correlated with the error term. However, the pair FE model has drawbacks. Not only is there a loss of efficiency due to many dummy variables but also coefficients of time-invariant variables within a country-pair are not identified. As an alternative to the pair FE model, I estimate a country two-way fixed effects (two-way FE) model that controls for an individual country's heterogeneity within a pair. If the two-way FE model gives a consistent result as compared to the pair FE model, then the two-way FE model is able to provide estimates of time-invariant variables within a pair and to improve efficiency. The Monte-Carlo exercises compare the pair FE and the two-way FE estimators, and show which specification is appropriate. To test whether the two-way FE model sufficiently captures unobserved heterogeneity, I propose robust Hausman (1978) specification tests that can be applied even if neither estimator is fully efficient.

Download or read book Country and Industry Dynamics in Stock Returns written by Mr.Allan Timmermann and published by International Monetary Fund. This book was released on 2003-03-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model's estimates, we find that portfolio diversification possibilities vary considerably across economic states.

Download or read book Financial Globalization Portfolio Diversification and the Pattern of International Trade written by Miklós Koren and published by International Monetary Fund. This book was released on 2003-12-01 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper provides a general-equilibrium model where incomplete international financial markets lead to insufficient industrial specialization and low international trade. As international portfolio diversification is limited and productivity is uncertain, investors wish to maintain a diversified industrial structure rather than specializing according to their comparative advantage. Financial globalization then induces more specialization and more trade. The present framework yields explicit closed-form solutions for the volume and the structure of trade. Empirical results support the implications of the theory. Trade in financially open countries is (i) higher, (ii) more dependent on productivity differences, and (iii) less sensitive to industry risks.

Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.

Download or read book International Diversification Opportunities for Real Estate Investment Portfolios written by Onousa Boontanorm and published by . This book was released on 2010 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explores the topic of diversification opportunities in international real estate, with focus on private real estate markets in developed countries. In examining the characteristics of returns and interrelatedness between international real estate, stocks and bonds markets from the time period spanning 2000 to 2009, we find that 2008 was the only year within the past decade in which several countries saw synchronized negative returns on a calendar year basis in the stocks and real estate markets, and even so the synchronized negative returns was only experienced by half of the countries within the 10-country opportunity set. The amplitude of the peak to trough drop in the cumulative value of the assets was small in real estate on average relative to that of stocks. These findings suggest that investors' should benefit from holding international real estate within their portfolios, even in an extreme down market. Modern portfolio theory is used to analyze and compare ex-ante diversification opportunities in international real estate, stocks and bonds and domestic diversification opportunities for the three asset classes from the perspectives of U.S. and European investors. We project expected returns for each of the markets and used historical risks (volatility) from the 2000-2009 period as estimates for volatility. When returns are calculated in local currencies, international diversification in the real estate portfolio (diversified within a 10-country opportunity set) should help U.S. investors substantially improve their portfolio risk-return efficiency relative to domestic diversification (within a 6-metropolitan area opportunity set), as the markets within the U.S. domestic opportunity set provide unattractive risk-return efficiency and their movements are highly correlated. By contrast, European investors will benefit less from the same international diversification strategy relative to domestic diversification (within 5 Eurozone countries) as several Eurozone markets are able to provide considerable risk-return efficiency and low correlations can be found in some pairs of markets. Applying home bias and limits on exposure to any single country i.e. country caps to the portfolio allocation helps to balance the allocation weights for the investor's portfolio but also significantly limits the investor's ability to take advantage of diversification opportunities provided by the international markets. When returns are calculated in the investors' domestic currencies, additional currency risk increases the portfolio volatility without providing additional expected return, reducing diversification benefits of international real estate. Even so, international diversification potential to U.S. investors should still be considerable, while that to European investors' should be minimal.

Download or read book International Portfolio Diversification and the Magnitude of the Market Timer s Penalty written by Kirt C. Butler and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Market timers without timing skill suffer a penalty relative to buy-and-hold investors in the form of higher portfolio risk. With transactions costs, timers suffer lower expected returns as well. We derive the magnitude of this penalty for a timer randomly switching funds between two or more risk assets. Assuming costless trades, a U.S.-based timer randomly switching between U.S. and Japanese national stock funds can expect to face a 26.2% higher standard deviation than a comparable buy-and-hold investor at the same level of expected return. A timer randomly switching between a globally diversified equity portfolio and U.S. T-bills faces a 50.3% higher standard deviation of return than a comparable buy-and-hold investor.

Download or read book Portfolio Diversification Leverage and Financial Contagion written by Mr.Garry J. Schinasi and published by International Monetary Fund. This book was released on 1999-10-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules do not have significantly different consequences for portfolio rebalancing and contagion than other rules. The paper’s main conclusion is that portfolio diversification and leverage may be sufficient to explain why investors would find it optimal to sell many higher-risk assets when a shock to one asset occurs.

Download or read book Can Canadian Investors Still Benefit from International Diversification written by Lei (Jeff) Wang and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines whether Canadian investors can still benefit from international diversification in the period from January 1996 to September 2006, using monthly nominal and real returns for different asset classes of Canada, US, UK, Japan, and Hong Kong. Under Markowitz's mean-variance analysis framework, we scrutinize the benefit of international diversification in terms of the improvement of expected return and the decrease in standard deviation. Comparing the optimization results from nominal returns and real returns, we find that while the magnitude of improving expected return and reducing risk is quite limited in this period, Canadian investors can still benefit from the international diversification by hedging domestic inflation risk, since the Canadian stock market does not represent their consumption basket well. Our empirical results also indicate that international bonds, compared with international stocks, have stronger power to improve the expected return and to reduce risk level of portfolio.

Download or read book Essays in International Portfolio Diversification written by Hansoo Kim and published by . This book was released on 2004 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: