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Relevant bibliographies by topics / Correlation; Volatility; Portfolio Diversification / Dissertations / Theses

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Dissertations / Theses on the topic 'Correlation; Volatility; Portfolio Diversification'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Franch, Mattia, and Bahaa Shehabi. "The potential benefits of investing in commodities : A study of the properties related to the investment in several commodities and adding them to stock portfolios." Thesis, Umeå universitet, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-127354.

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Investing in commodities may have important benefits for investors but only in the last few decades have they started to think more about this possibility. Furthermore, large investors are more inclined to change their own personal view. Therefore, understanding the benefits that commodities could give to an investment portfolio might alleviate investors’ concerns. Several previous studies, as Belousova and Dorfleitner (2012) suggest, that the commodities with higher benefits are precious metals and gold, in particular. The purpose of our work is to understand which possible benefits are for e

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2

Bui, Ba Tung, and Javier Jo. "Sustainable Bonds and Beyond: A Sustainable Alternative for Portfolio Diversification : An empirical study of sustainable bonds and existing asset classes from a volatility and correlation perspective in Sweden." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172185.

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Increasing awareness of sustainable issues is just one of the ways how modern society has evolved. Due to the growing challenges faced by climate change and societal issues, our world has grown to be more innovative in the fight and support towards initiatives that will contribute to the long-term of the world we live in. Capitalists have exploited the resources, and as such, it is the economy where we can make the most significant changes to reverse the negative consequences. Responsible investment has incorporated various financial tools oriented towards the support of environmental, societa

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3

Esteves, Carlos Manuel Geraldes. "Portfolio diversification using Bitcoin." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21053.

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Mestrado em Finanças<br>Normalmente, as Bitcoins são associadas a um lado mais controverso e ilegal - Bitcoin como meio de chantagem a pessoas ou empresas. Esquemas de pirâmide (Ponzi) ou ainda meio de pagamento no mercado negro, geralmente na dark-web. Mas, existem investidores que estão a utilizar Bitcoin como um ativo nos seus investimentos, seja numa estratégia mais passiva seja mais ativamente, com compra e venda consoante as flutuações cambiais. O aspeto negativo deste ativo financeiro é a sua volatilidade Apesar de, atualmente, Bitcoins e outras cripto moedas se encontrarem numa zona

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4

Vieira, Joana Colarinha. "International portfolio diversification: evidence from emerging markets." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/14114.

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Submitted by Joana Vieira (joana_cvieira@hotmail.com) on 2015-10-13T12:58:25Z No. of bitstreams: 1 FINAL REPORT JOANA VEIRA FGV.pdf: 3927213 bytes, checksum: a8f998809220a76b7f10b84fa630e2b0 (MD5)<br>Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Joana, o numero das paginas deve contar a partir da capa, está certo mas só deve aparecer o numero a partir da introdução. fico a disposição. Ana Luiza Holme 3799-3492 on 2015-10-13T16:24:51Z (GMT)<br>Submitted by Joana Vieira (joana_cvieira@hotmail.com) on 2015-10-13T17:42:24Z No. of bitstreams: 1 FINAL REPORT JOANA VEIRA FGV

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Gorny, Moritz Fabio. "Time-varying benefits of cross-asset and cross-region portfolio diversification." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19010.

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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)<br>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)<br>Made available in DSpace on 2017-10-24T12:05:21Z (GMT). No. of bitstreams: 1 FGV_WORKPROJECT_FINAL.pdf: 9639847 bytes, checksum: f844e7eb2597f24be32d35574b55e41d (MD5)

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Sawwan, Charbel, and Nathan Lercier. "International Diversification for Swedish investors : A comparative study of different national and international scale portfolios." Thesis, Umeå universitet, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160407.

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This thesis aims to investigate the benefits of international diversification from a Swedish perspective. It presents a comparative study of the performance of different portfolios based on their degree of international diversification with a focus on Swedish investors frame of reference. Such a study is motivated by the contradictory literature about portfolio diversification and information portfolio theory that advocate for a more concentrated portfolio. It focuses solely on comparing portfolios constituted with major indices of a representative sample including countries from different par

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Stark, Caroline, and Emelie Nordell. "Diversifying in the Integrated Markets of ASEAN+3 : A Quantitative Study of Stock Market Correlation." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34476.

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<p>There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem fo

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8

Yousuf, Abdullah, and Fredrik Nilsson. "Impact of Exchange Rates on Swedish Stock Performances. : Empirical study on USD and EUR exchange rates on the Swedish stock market." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-75782.

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This paper examines the impact of USD and EUR exchange rates on the Swedish stock market performance for different economic sectors over a time period of ten years (2003-2013). The growing integration between foreign exchange markets and stock markets with the wide spread use of hedging and diversification policies made it necessary to test the degree of impact these two distinct markets share between each other. Number of studies, were done studying the relationship between the exchange rates and stock performance combining and comparing different economies and currencies. Nevertheless, resea

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9

Pedrono, Justine. "Banking stability and currency diversification." Thesis, Aix-Marseille, 2017. http://www.theses.fr/2017AIXM0283/document.

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La crise financière de 2008 a mis en exergue l'instabilité financière des banques en identifiant le caractère procyclique du levier bancaire, la sous-capitalisation des banques, et la nécessité de définir une nouvelle régulation bancaire. La dimension internationale des activités bancaires et l'identification des banques globales complètent ce constat. Les banques européennes, par leurs expositions aux marchés financiers américains, sont diversifiées internationalement: une part de leurs actifs et de leurs dettes est libellée en dollar américain. Le taux de change flottant entre le dollar et l

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10

Katzler, Sigrid. "Improving strategic decisions for real estate investors : Perspectives on allocation and management." Doctoral thesis, KTH, Fastigheter och byggande, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207004.

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Real estate is an attractive asset class in the mixed-asset portfolio due to favorable risk return characteristics and low correlations with other asset classes like stock and bonds. Unlike financial assets, real estate is a physical asset where large lot sizes/indivisibility, heterogeneity, low liquidity and high transaction costs make applying financial models like modern portfolio theory (MPT) challenging. Optimal allocations to real estate found in literature are generally lower than actual allocations by investors and portfolio managers indicating there are aspects of the application of M

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11

Gempesaw, David Conrad. "Does Idiosyncratic Volatility Proxy for a Missing Risk Factor? Evidence from Using Portfolios as Test Assets." Miami University / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=miami1406819417.

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12

Křižka, Adam. "Diverzifikace portfolia prostřednictvím investic do burzovních indexů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2020. http://www.nusl.cz/ntk/nusl-414481.

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The diploma thesis focuses on the design of suitable stock exchange indices for portfolio diversification. The essence and principle of functioning of financial markets and investment funds is presented. According to suitable indicators, stock exchange indices are analyzed and compared with the market. Suitable indices are verified by means of correlation analysis and subsequently recommended to diversify the portfolios of investment funds managed through the investment company.

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13

Oztek, Mehmet Fatih. "Modeling Co-movements Among Financial Markets: Applications Of Multivariate Autoregressive Conditional Heteroscedasticity With Smooth Transitions In Conditional Correlations." Phd thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615713/index.pdf.

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The main purpose of this thesis is to assess the potential of emerging stock markets and commodity markets in attracting the attention of international investors who utilize various portfolio diversification strategies to reduce the cumulative risk of their portfolio. A successful portfolio diversification strategy requires low correlation among financial markets. However, it is now well documented that the correlations among financial markets in developed countries are very high and hence the benefits of international portfolio diversification among these markets have been very limited. This

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14

Moutáfov, Ernesto, and Legrand Giovanni Perez. "Hög avkastning till låg risk : En jämförande studie mellan aktieportföljers innehåll och prestation." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16863.

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Syfte: Studera sju portföljer och notera den bästa typen av portfölj med högst avkastning till lägst risk. Metod: Sekundärdata är grunden för uträkning av samtliga portföljers avkastningar, risker och korrelation. Studien är deduktiv med kvantitativa inslag av kända teorier av nobelpristagare i ekonomisk vetenskap. Slutsats: Studien visar att stora bolag i olika branscher är ett vinnande portföljinnehåll för denna studie. Stora bolags aktier har visat högre avkastning till lägre risk jämfört med små bolag under studiens tid då ekonomiska kriser drabbade marknaden. Den mest presterande portföl

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15

Tabner, Isaac T. "The relationship between concentration and realised volatility : an empirical investigation of the FTSE 100 Index January 1984 through March 2003." Thesis, University of Stirling, 2005. http://hdl.handle.net/1893/79.

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Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios, such as the FTSE 100. Instead, previous research has focused upon diversification across industries, across geographic regions and across different firms. The present study addresses this imbalance by calculating the daily time series of four concentration metrics for the FTSE 100 Index over the period from January 1984 through March 2003. In addition, the value weighted variance covariance matrix (VCM) of daily FTSE 100 Index constituent returns is decomposed into four sub-c

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16

Castro, Carlos. "Essays in dependence and optimality in large portfolios." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210186.

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This thesis is composed of three chapters. The first two chapters provides novel approaches for<p>modeling and estimating the dependence structure for a large portfolio of assets using rating data.<p>In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure.<p>The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a co

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17

Liu, Yuna. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations." Doctoral thesis, Umeå universitet, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-119873.

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This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market. In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. In Paper [II] we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. The results indicate that the stock market consolidations

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18

Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.

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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging market

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19

Gorny, Moritz. "Time-varying benefits of cross-asset and cross-region portfolio diversification." Master's thesis, 2017. http://hdl.handle.net/10362/26979.

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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 emerg

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20

Serafim, André Luís Ferreira. "Performance of VIX straddle and strangle strategies in portfolio management." Master's thesis, 2018. http://hdl.handle.net/10362/30074.

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Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management<br>Volatility products have seen a growth in trading volume, partly due to the interesting characteristics these products demonstrate in relation to the market. The Chicago Board Options Exchange’s S&P 500 Volatility Index (VIX) is seen as a fear gauge and as such is normally used to hedge against big drops in market value as a form of insurance for a portfolio. This thesis extends the original Dash and Moran framework and t

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21

"Revenue Strategies of US States under Conditions of Economic and Political Stress: Revenues Diversification 1980 to 2011." Doctoral diss., 2013. http://hdl.handle.net/2286/R.I.18745.

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abstract: This dissertation assesses the impact of revenue diversification on state revenue growth and volatility and then, the economic, political and institutional factors that predict diversification. Previous studies, taking advice from modern portfolio theory, argue that diversifying a revenue portfolio can stabilize volatility and even lead to faster rates of growth over time. However, levels of diversification are not assigned randomly. Rather, differences among states in diversification might be a consequence of differences in states such as electoral cycles and the presence and strict

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22

Плоткін, Олександр Ілліч. "Розробка проекту диверсифікації виробництва на підприємстві АТ «Мелітопольський м’ясокомбінат»". Магістерська робота, 2019. https://dspace.znu.edu.ua/jspui/handle/12345/3106.

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Плоткін О. І. Розробка проекту диверсифікації виробництва на підприємстві АТ «Мелітопольський м’ясокомбінат» : кваліфікаційна робота магістра спеціальності 073 "Менеджмент" / наук. керівник С. В. Северина. Запоріжжя : ЗНУ, 2019. 96 с.<br>UA : Кваліфікаційна робота: 96 с., 10 рис., 15 табл., 4 додатки, 47 джерел. Об’єкт дослідження кваліфікаційної роботи – особливості розробки та впровадження проектів диверсифікації виробництва на підприємстві. Предмет дослідження – методичні підходи та принципи розробки (впровадження) проектів диверсифікації виробництва на АТ «Мелітопольський м’ясокомбінат». М

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Jílek, Jiří. "Evropské realitní investiční trusty: Analýza korelace za použití DCC- GARCH modelu." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-307443.

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Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the nec

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Ferreira, Mackenzie Mark Galvão. "Using option-implied information in portfolio selection and risk management." Master's thesis, 2021. http://hdl.handle.net/10400.14/35556.

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The objective of this dissertation is two-fold. The first objective is to examine whether one can use implied information (implied volatility and implied correlations) from the options market to improve the out-of-sample performance of an all-stock optimized portfolio. Portfolio performance is measured using three metrics, namely, returns, volatility, and the Sharpe Ratio. The second objective is to examine the risk metrics of the portfolios to analyze whether a portfolio created using option-implied information is better at predicting risk than one using a conventional sample covariance matri

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