Download or read book International Diversification and Shortfall Risk written by Kwok Ho and published by . This book was released on 1997* with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Re examination of Portfolio Risk Reduction Through International Diversification written by Dinesh Chandra Bansal and published by . This book was released on 1990 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Crash Risks of Style Investing written by Timothy K. Chue and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the growth in the popularity of style investing and the concern for extreme events among investors, we examine the tail risks of style investing in different countries. For the G7 countries over the 1981-2010 period, we evaluate whether portfolios with different size, value, or momentum tilts -- the SMB (small minus big), HML (high minus low), and UMD (past winners minus past losers) portfolios -- experience different crash risks, and whether these risks can be mitigated through international diversification. We find that the crash risks of momentum tend to be higher than those of size and value, where crash risks are measured by return skewness and expected shortfall. International diversification lowers the crash risks of size and value further, but has only limited effects on momentum. Specifically, a diversified, world UMD portfolio (equal-weighted portfolio of the G7 countries) tends to be more left-skewed and has a more negative expected shortfall than the momentum portfolios of individual countries. By contrast, the world SMB and HML portfolios tend to have less negative skewness and expected shortfall than their country-specific counterparts. By examining the conditional correlations and return coexceedances of style portfolios across countries, we find that the extreme negative returns on UMD in different markets tend to occur together, whereas those on SMB and HML tend to be country-specific. In fact, for SMB and HML, it is the right-tail events that tend to be more global in nature. These results suggest that the difference in the effect of international diversification is due to the left (right) tails of momentum (size and value) portfolios being more correlated than their right (left) tails across countries.
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 The Endowment Model of Investing written by Martin L. Leibowitz and published by John Wiley & Sons. This book was released on 2010-03-02 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: A cutting-edge look at the endowment model of investing Many larger endowments and foundations have adopted a broadly diversified asset allocation strategy with only a small amount of traditional U.S. equities and bonds. This technique, known as the "endowment model of investing," has demonstrated consistent long-term performance and attracted the attention of numerous institutional and individual investors. With The Endowment Model of Investing Leibowitz, Bova, and Hammond take a closer look at the endowment model with customary research sophistication and attention to detail. Throughout the book, they examine how the model provides truly outstanding real returns, while keeping a close eye on the risks associated with this method of investing. Along the way, the authors offer practical advice on incorporating the endowment model into your own investment endeavors and reveal what it takes to make this method work in the real world. Details the growing debate about the endowment model of investing and discusses how to use it successfully Written by an authority on endowment investing and non-traditional asset allocation strategies Offers expert insights on understanding risk and return in non traditional asset allocation If you want to gain a better grasp of one of the most successful forms of investing, then The Endowment Model of Investing is a book you need to read.
Download or read book International Diversification and Global Credit Risk written by Karin Martin-Bujack and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk has recently been identified as a cause of declining international diversification capacity; in this paper we offer an alternative methodology to create an equity portfolio with exposure to global credit risk and controlled market risk. Following the factor decomposition methodology, we reduce a sample of the biggest international companies to a portfolio composed by just 11 stocks, representing different risk factors, which show high diversification in terms of systematic risk and a risk-return binomial comparable to benchmark international equity indices.
Download or read book International Diversification Can It Reduce Systematic Risk written by Naisha Sujan and published by . This book was released on 2013 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: According to the much acclaimed portfolio theory, broader the diversification across industries, the more stable the returns and lesser the risk. Out of the total portfolio risk, unsystematic risk can be reduced by diversification if returns are not perfectly positively correlated. Systematic risk or market risk is considered to be non-diversifiable in nature. However, some scholars believe that diversifying across nations whose economic cycles are not perfectly in sync can further reduce the variability of returns of a diversified domestic portfolio. In this study, 10 portfolios comprising of different combinations of allocation in Nifty, Dow Jones and SSE Composite (Shanghai) indices have been taken which forms the opportunity set. Risk and return of these portfolios were calculated based on the average monthly returns earned on these three indices during the period 2004-12. Portfolios with a mix of three markets were found to give better results than portfolios invested in any one market. Thus international diversification pushes out the efficient frontier made out of domestic portfolios, thus simultaneously reducing risk and increasing the expected return.
Download or read book Long Run International Diversification written by Thomas Conlon and published by . This book was released on 2016 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The evidence for international diversification as a means to curtail portfolio risk relies predominantly on short-run data. In this paper, we examine the extent to which the risk reduction benefits of international investment hold in the long-run. Employing a multi-horizon non-parametric filter, we develop a long-run correlation estimator and exploit this to decompose the long-run inter-market relationship into short-run components. We observe raised correlations between international equity indices in the long-run. Investigating the economic significance for investors, we find the long-run benefits of international diversification to be attenuated. Increasing long-run correlation is modeled as a function of short-run data accounting for characteristics pervasive in financial time series. This indicates that perceived risk reduction benefits may be overstated using short-run data.
Download or read book International Portfolio Diversification the Role of Risk and Return written by César Calderón and published by . This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Diversification in Bond Portfolios A Historical Performance Analysis written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study touches upon the phenomenon of investors deliberately over weighting the proportion of their assets invested in their home country, called home-bias. While researchers have focused on the reasons for this decision, only a few papers focus on the actual diversification benefits that these investors would get in the case of a full diversification of their investments. Furthermore, some researchers lead to think that the recent developments of the world economy and the ongoing globalization could impact the size of these benefits. As a matter of fact, a time trend analysis on the development of home-bias costs in equity portfolios could already highlight a negative trend over the last two decades. This study focuses on corporate bond portfolios as these instruments won in relevance for companies seeking alternative financing means. This study made use of a rather recent optimization procedure based on the Conditional Value-at-Risk (also called Expected Shortfall) that can cope with instruments showing non-normal returns in contrast to other more standard procedures like the mean-variance framework or optimization based on the Value-at-Risk. The results showed that home-bias costs did not decrease over the last decade for biased investors coming from all over the world. Also, the size of the diversification benefits that investors are ignoring through their home-bias seems not to be region and country specific or related to their development level.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Return Targets and Shortfall Risks written by Martin L. Leibowitz and published by Irwin Professional Publishing. This book was released on 1996 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: The shortfall risk measure provides the advantage of treating higher expected returns as a cushion against the full impact of volatility, and it can also be used to help the fund maintain its minimum target levels as interest rates change.
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 Global Asset Allocation written by Heinz Zimmermann and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Download or read book Development Centre Studies The Second Generation Pension Reforms in Latin America written by Queisser Monika and published by OECD Publishing. This book was released on 1998-09-30 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides a detailed description of all second-generation pension reforms in Latin America to date, evaluates the first years of operations of the new systems and outlines the problems and challenges which the systems are still facing.
Download or read book Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Download or read book Development Centre Seminars The Future of Asia in the World Economy written by OECD and published by OECD Publishing. This book was released on 1998-03-27 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on scenarios produced by the Asian Development Bank (ADB) and the OECD Development Centre, the authors of this report consider ways in which long-term Asian growth can be consolidated to the benefit of the global economy as a whole.
