Risk Management of Internationally Diversified Portfolio

Merve Birlik

Master's thesis

Abstract:

This thesis focuses on portfolio performance on internationally diversified portfolio. We constructed simulated a portfolio, where diversified into two advanced markets and two emerging markets. We also discuss risk management and portfolio management essentials in these papers. Simulated portfolio is equally weighted over the four countries namely Eurozone, United States, Brazil and South-Africa by including their indices such as. The sample has been chosen over a period of five years: from the begging of 2013 to end of 2017. The goal of the simulation is to express performance of international diversified portfolio with strategies with or without hedging foreign currency exposure with forward contracts by eurozone investor point of view. We additionally mentioned correlations and its influences over portfolio, monthly behaviour performances of indices and currency indexes respect to risk and return perspective, as well as hedging strategies and regret ratio over it. We have simulated performances from the portfolios with Sharpe ratio that we build with those mentioned indices under four cases such as, domestic investment, diversified but not hedged, diversifies and %50 hedge, and diversified %100 hedge portfolio.

Abstract:

This thesis focuses on portfolio performance on internationally diversified portfolio. We constructed simulated a portfolio, where diversified into two advanced markets and two emerging markets. We also discuss risk management and portfolio management essentials in these papers. Simulated portfolio is equally weighted over the four countries namely Eurozone, United States, Brazil and South-Africa by including their indices such as. The sample has been chosen over a period of five years: from the begging of 2013 to end of 2017. The goal of the simulation is to express performance of international diversified portfolio with strategies with or without hedging foreign currency exposure with forward contracts by eurozone investor point of view. We additionally mentioned correlations and its influences over portfolio, monthly behaviour performances of indices and currency indexes respect to risk and return perfective, as well as hedging strategies and regret ratio over it. We have simulated performances from the portfolios with sharpe ratio that we build with those mentioned indices under four cases such as, domestic investment, diversified but not hedged, diversifies and %50 hedge, and diversified %100 hedge portfolio.

Keywords

risk management, poretfolio constrcution theory, investment strategies

Keywords

risk management, portfolio construction theory, investment strategies

Language used: English

Date on which the thesis was submitted / produced: 27. 11. 2017

Thesis defence

• Date of defence: 14. 6. 2018
• Supervisor: František Poborský
• Reader: Tamara Ajrapetova

Vysoká škola ekonomická v Praze

Master programme:
Finance and Accounting