Risk Management in Internationally Diversified Portfolio and Foreign Exchange Risk Mitigation

Název práce: Risk management in internationally diversified portfolio and its foreign exchange risk mitigation
Autor(ka) práce: Vasylchenko, Anna
Typ práce: Diploma thesis
Vedoucí práce: Brůna, Karel
Oponenti práce: Boháčik, Ján
Jazyk práce: English
Abstrakt:
The main focus the submitted thesis “Risk Management in Internationally Diversified Portfolio and Foreign Exchange Risk Mitigation” is to analyze and determine the optimal structure of internationally diversified portfolio based on nine stock market indices during a specific period of time. For the purposes of this work, a US investor who is rational and risk-averse will be considered during the analytical part. The question as to how the investor could develop their portfolio to achieve most favorable mean-variance relationship will be intended to answer. The first section of the thesis presents specific risk factors of wealth diversification over different countries. The second section is dedicated to the motivation and background. The third and fourth sections represent Markowitz and Sharpe frameworks. The fifth part focuses on the solver agent. The sixths part describes selected market characteristics as well as specifics of each individual index. The final seventh section provides the analysis of risk, return, correlation, and Sharpe ratio of each specific index as well as the correlation of exchange rates. Once, these factors were computed, the respective optimal domestic portfolios were obtained. The following section also exhibits the ultimate internationally diversified portfolio.
Klíčová slova: International diversification; globalization; volatility; optimal portfolio; portfolio choice; exchange rate risk; asset allocation; rate of return; currency exposure; stock market index
Název práce: Risk Management in Internationally Diversified Portfolio and Foreign Exchange Risk Mitigation
Autor(ka) práce: Vasylchenko, Anna
Typ práce: Diplomová práce
Vedoucí práce: Brůna, Karel
Oponenti práce: Boháčik, Ján
Jazyk práce: English
Abstrakt:
The main focus the submitted thesis “Risk Management in Internationally Diversified Portfolio and Foreign Exchange Risk Mitigation” is to analyze and determine the optimal structure of internationally diversified portfolio based on nine stock market indices during a specific period of time. For the purposes of this work, a US investor who is rational and risk-averse will be considered during the analytical part. The question as to how the investor could develop their portfolio to achieve most favorable mean-variance relationship will be intended to answer. The first section of the thesis presents specific risk factors of wealth diversification over different countries. The second section is dedicated to the motivation and background. The third and fourth sections represent Markowitz and Sharpe frameworks. The fifth part focuses on the solver agent. The sixths part describes selected market characteristics as well as specifics of each individual index. The final seventh section provides the analysis of risk, return, correlation, and Sharpe ratio of each specific index as well as the correlation of exchange rates. Once, these factors were computed, the respective optimal domestic portfolios were obtained. The following section also exhibits the ultimate internationally diversified portfolio.
Klíčová slova: International diversification; globalization; asset allocation; optimal portfolio; portfolio choice; exchange rate risk ; volatility; rate of return; currency exposure; stock market index

Informace o studiu

Studijní program / obor: Finance and Accounting
Typ studijního programu: Magisterský studijní program
Přidělovaná hodnost: Ing.
Instituce přidělující hodnost: Vysoká škola ekonomická v Praze
Fakulta: Fakulta financí a účetnictví
Katedra: Katedra měnové teorie a politiky

Informace o odevzdání a obhajobě

Datum zadání práce: 19. 11. 2019
Datum podání práce: 26. 5. 2020
Datum obhajoby: 10. 6. 2020
Identifikátor v systému InSIS: https://insis.vse.cz/zp/71694/podrobnosti

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