Publicação
Time-varying benefits of cross-asset and cross-region portfolio diversification
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Prado, Melissa | |
| dc.contributor.advisor | Oliveira, Joelson | |
| dc.contributor.author | Gorny, Moritz | |
| dc.date.accessioned | 2017-12-19T15:17:06Z | |
| dc.date.available | 2017-12-19T15:17:06Z | |
| dc.date.issued | 2017-09-20 | |
| dc.description.abstract | 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. | pt_PT |
| dc.identifier.tid | 201753278 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/26979 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Diversification | pt_PT |
| dc.subject | Cross-Asset | pt_PT |
| dc.subject | Cross-Country | pt_PT |
| dc.subject | Correlation | pt_PT |
| dc.title | Time-varying benefits of cross-asset and cross-region portfolio diversification | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |