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| Time-varying benefits of cross-asset and cross-region portfolio diversification | |
| Gorny;Moritz Fabio | |
| 出版年 | 2017 |
| 英文摘要 | Submitted by Moritz Gorny (mgorny@online.de) on 2017-10-23T17:41:35Z No. of bitstreams: 1 FGV_WORKPROJECT_FINAL.pdf: 9639847 bytes, checksum: f844e7eb2597f24be32d35574b55e41d (MD5) Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2017-10-23T18:02:34Z (GMT) No. of bitstreams: 1 FGV_WORKPROJECT_FINAL.pdf: 9639847 bytes, checksum: f844e7eb2597f24be32d35574b55e41d (MD5) Made available in DSpace on 2017-10-24T12:05:21Z (GMT). No. of bitstreams: 1 FGV_WORKPROJECT_FINAL.pdf: 9639847 bytes, checksum: f844e7eb2597f24be32d35574b55e41d (MD5) Previous issue date: 2017-09-25 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. Investmentgrade 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. A tese utiliza dados de retorno sobre ações, títulos, commodities e imóveis para os EUA, Europa, Ásia e América Latina para examinar os potenciais de diversificação. A análise centra-se nos benefícios da diversificação entre ativos e entre regiões, bem como o impacto do sofrimento financeiro nessas estratégias e desempenhos da carteira. Conclui que os benefícios da diversificação variam ao longo do tempo e diminuem nos mercados ostentosos devido à maior correlação. Os títulos de grau de investimento e o ouro mostraram os maiores benefícios de diversificação para os investidores de capital durante o sofrimento financeiro. Os ativos dos mercados emergentes parecem ser menos sensíveis às quedas do mercado global e mostram performances mais constantes. |
| 英文关键词 | Diversifica??o Correla??o Diversification Cross-Asset Cross-Country Correlation Economia Derivativos (Finan?as) Mercado de capitais Investimentos - Administra??o Mercado de op??es |
| 语种 | 英语 |
| URL | http://hdl.handle.net/10438/19010 |
| 资源类型 | 学位论文 |
| 条目标识符 | http://119.78.100.177/qdio/handle/2XILL650/250565 |
| 推荐引用方式 GB/T 7714 | Gorny;Moritz Fabio. Time-varying benefits of cross-asset and cross-region portfolio diversification[D],2017. |
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