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1
Zuo, Fei. "Passive and active currency portfolio optimisation." Thesis, University of Exeter, 2016. http://hdl.handle.net/10871/22612.
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This thesis examines the performance of currency-only portfolios with different strategies, in out-of-sample analysis. I first examine a number of passive portfolio strategies into currency market in out-of-sample analysis. The strategies I applied in this chapter include sample-based mean-variance portfolio and its extension, minimum variance portfolio, and equally-weighted risk contribution model. Moreover, I consider GDP portfolio and Trade portfolio as market value portfolio for currency market. With naïve portfolio, there are 12 different asset allocation models. In my out-of-sample analysis, naïve portfolio performs reasonably well among all 12 portfolios, and transaction cost does not seriously affect the results prior to transaction cost analysis. The results are robust across different estimation windows and perspectives of investors from different countries. Next, more portfolio strategies are examined to compare with naïve portfolio in currency market. The first portfolio strategy called ‘optimal constrained portfolio’ in this chapter is derived from the idea of maximising the quadratic utility function. In addition, the timing strategies, a set of simple active portfolio strategies, are also considered. In my out-of-sample analysis with rolling sample approach, naïve portfolio can be beaten by all the strategies discussed in this chapter. In chapter six, the characteristics of currency are exploited to construct a currency only portfolio. Firstly, the pre-sample test proves that the characteristics, both fundamental and financial, are relevant to the portfolio construction. I then examine the performance of parametric portfolio policies. The results show that while fundamental characteristics can bring investor benefits of active portfolio management, financial characteristics cannot. Moreover, I find the relationship between characteristics of currency and weights of optimal portfolio. The overall results show that currencies can be thought of as an asset in their own right to construct optimal portfolios, which have better performance than naïve portfolio, if suitable strategies are used. In addition, ‘lesser’ currencies, indeed, bring significant benefits to the investors.
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Burri, Silvan. "Asset Allocation including Currency Managers." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01649268002/$FILE/01649268002.pdf.
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Allan, Matthew J. "Digital Currency in the Digital Age: Portfolio Diversification Using Bitcoin and Litecoin." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/831.
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This paper will show the effect of cryptocurrencies, specifically Bitcoin and Litecoin, on a diversified portfolio of traditional and alternative assets. By using weekly closing price of these data, I use a single-index model to find betas, Sharpe ratios, and asset correlations. Then using the Markowitz Portfolio Optimization model to find optimal weights both with and without percentage restrictions. To date there is little academic research into cryptocurrency portfolio management. This paper expands upon a similar study done in the summer of 20131 through the Université Libre de Bruxelles. However, their data was from before a major spike in Bitcoin demand in November that same year, and did not include Litecoin. This paper fills the gap.
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Broll, Michael [Verfasser], and Ansgar [Akademischer Betreuer] Belke. "A treatise on currency risk and portfolio strategies / Michael Broll ; Betreuer: Ansgar Belke." Duisburg, 2017. http://d-nb.info/1125371250/34.
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Adinugrahan, Sapto, and Mochamad Ridwan. "Efficiency of Foreign Debt Portfolio Management in Emerging Economies." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26887.
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Fluctuation of exchange rate has affected the increasing burden of foreign debt payment in emerging economies. This issue has negatively influenced the economic growth. It has been a severe obstacle considering that governments have to issue public debt denominated in foreign currency to finance the budget deficit. Hence, there is an urgent necessity to implement an efficient public debt management to minimize the exchange rate exposure. This thesis analyses how efficient the foreign debt portfolio management is in the 14 emerging economies under examination in the period of 1990-2013. Panel Dynamic Fixed-effect Estimator and Granger Causality approach are applied to analyze how responsive the currency composition of foreign debt portfolio to the exchange rates movement. The thesis examines the four biggest foreign debt shares that are denominated in US dollar, Euro, British pound, and Japanese yen, and the related exchange rates movement in the economies under consideration. The observation concludes that the foreign debt portfolio management in these emerging economies is not efficient or not optimal. The evidences prove that changes in the exchange rates of Euro, British pound, and Japanese yen relative to US dollar Granger cause changes in respected debt shares. It means that there is no substitution effects from the appreciation of the currencies vis-à-vis the US dollar during the year of observation.
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Budík, Jan. "METODY TVORBY MĚNOVÉHO PORTFOLIA." Doctoral thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2013. http://www.nusl.cz/ntk/nusl-233764.
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Doctoral thesis deals with the method of the currency portfolio creation focused on short-term trading, which not exceed one business day. That is the reason why is necessary to increase the profitability of investment positions by using financial leverage. Development of proposed investment strategies is realized with use of computer technology in combination with software that allows direct access to the foreign exchange market. The software enables direct access to a database of historical prices and has an implemented a programming language that allows effective processing of statistical analyzes, which is required for development of investment strategies. The investment strategies are optimized and tested on a database of historical price movements from 1. 1. 2004 to 31. 12. 2012 for the major currency pairs EUR/USD, GBP/USD and USD/JPY. The main assumption of entry to the market for proposed investment strategies is based on specific time intervals during the day, where is an increased probability of new short-term trends beginnings. The doctoral thesis statistically validated this assumption. The proposed method of creation a currency portfolio was applied to real market since 1. 1. 2013 to 30. 9. 2013 and was used for 20 000 $ trading account. Profitability of proposed method of creation a currency portfolio is 26,89%.
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Robertsson, Göran. "International portfolio choice and trading behavior." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2000. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-624.
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This thesis consists of four essays on topics relating to the fields of international portfolio choice, trading behavior, and asset pricing. "Direct Foreign Ownership, Institutional Investors, and Firm Characteristics" analyzes portfolios of Swedish stocks held by foreign investors. The analysis reveals that foreigners tilt their portfolios to firms with certain attributes. It is also shown that the seemingly specific preferences of foreign investors are driven by the fact that they are large institutional investors, and are not linked to their national origin. "Foreigners' Trades in Risky Assets: An assessment of Investment Behavior and Performance" analyzes foreigners' trading activities. It is shown that foreigners trade more than domestic investors. Further, they trade as non-informed trend followers in that they buy stocks that have recently done well. Nonetheless, after the liberalization of Sweden's stock market, foreigners' purchases have led to a permanent price increase and to a reduction in the cost of equity capital. "Exchange Rate Exposure, Risk Premia, and Firm Characteristics" shows that about fifty percent of Swedish listed firms are affected by exchange rate fluctuations. The sign and magnitude of exchange rate exposure are characterized across industries as well as firm attributes. The empirical analysis suggests that exposure can be eliminated through diversification, and that exchange rate risk is not priced. "Conditioning Information in Tactical Asset Allocation" examines whether investors can exploit the predictability in time-varying expected returns on Swedish stocks and bonds. It is shown that dynamic allocation strategies, based on conditioning information, significantly outperform several benchmark portfolios. This superior performance is not only statistically significant, it is economically large.Diss. Stockholm : Handelshögsk.
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Baskurt, Ozge. "Financial Dollarization And Currency Substitution In Turkey." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/12606172/index.pdf.
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This study aims to investigate currency substitution and financial dollarization in Turkey. The extend of dollarization in Turkey appears to be very high according to both the conventional currency substitution and the recently developed financial dollarization measures. This has serious policy implications as a source of financial fragility through currency/maturity mismatches and balance sheet effects. The empirical part of this study contained an investigation of the long run relationships between the variables in a system containing currency substitution ratio, expected exchange rate change and rates of return on domestic and foreign currency denominated assets. The results of the Johansen cointegration analysis based on quarterly data for the 1987-2004 period appeared not to be strongly supporting the General Portfolio Balance Model (GPBM). The theoretical part of this study suggests that the GPBM can be reduced to the Sequential Portfolio Balance Model (SPBM) under the uncovered interest parity (UIP) hypothesis. Consequently, the GPBM may be misleading under UIP. The Johansen cointegration results suggested the validity of the UIP for the Turkish data. The estimation of the SPBM suggested that there is a long-run relationship between currency substitution and expected exchange rate change in Turkey. The elasticity of currency substitution appeared to be high but consistent with those estimated for other high inflation developing countries. The results further supported the presence of a ratchet/hysteresis effect proxied by a trend variable. All these results are consistent with the argument that currency substitution and financial dollarization are important especially in high inflation countries.
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Stålstedt, Erik. "Exchange Rate Risk : From a Portfolio Investors Point of View." Thesis, Jönköping University, JIBS, Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1012.
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Due to globalization investors have increasing opportunities to invest on international markets for diversification purposes. This thesis illustrates the added risks of investing internationally due to volatile exchange rates. The purpose is to analyze how a volatile
exchange rate affect the risk and return of a portfolio invested in Sweden, when the investor is located in Japan, United Kingdom or the USA.
To analyze the effect of exchange rate volatility the focus is on a portfolio consisting of Swedish stocks from the Stockholm Stock Exchange (SSE) O-list. First the risk and return to a hypothetical Swedish investor not exposed to exchange rate volatility is calculated.
Then the effects the exchange rates had on the risk and return if a US investor, UK investor and a Japanese investor invested in the same portfolio is analyzed. For the historical period 2005 the portfolio generated a return of 34.36% and a risk of 7.7%. The empirical work showed that for the international investors the risk was increased
with between 1.95% – 410.52% and that the actual return decreased due to weakening currencies against the Krona.
In an attempt to predict future exchange rate movements the thesis analyses two financial relationships, PPP and IRP, to calculate equilibrium movements. Both PPP and IRP predicted a depreciation of the Dollar and Pound Sterling against the Krona over the next
period, but an appreciation of the Yen against the Krona over the same period.
The analytical discussion covers the importance of a well functioning financial system, the institutional effects on exchange rates and the confidence in government policies and their ability to succeed in doing what has been promised.
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Vesilind, Andres. "A methodology for earning excess returns in global debt and currency markets with a diversified portfolio of quantitative active investment models /." Tartu : Tartu Univ. Press, 2007. http://www.gbv.de/dms/zbw/535054300.pdf.
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McCarron, Sean. "Reducing exchange rate risk and exposure: The value of foreign exchange currency hedging strategies." CSUSB ScholarWorks, 2004. https://scholarworks.lib.csusb.edu/etd-project/2534.
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The topic researched for this project will be foreigh exchange hedging; the available forms, the uses, the procedures, and the value. This project will expand beyond the typical research and examine the value of hedging through the use of different foreign exchang currency trading strategies to small multinationational corporations.
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Brushammar, Tobias, and Erik Windelhed. "An Optimization-Based Approach to the Funding of a Loan Portfolio." Thesis, Linköping University, Department of Mathematics, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-2664.
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This thesis grew out of a problem encountered by a subsidiary of a Swedish multinational industrial corporation. This subsidiary is responsible for the corporation’s customer financing activities. In the thesis, we refer to these entities as the Division and the Corporation. The Division needed to find a new approach to finance its customer loan portfolio. Risk control and return maximization were important aspects of this need. The objective of this thesis is to devise and implement a method that allows the Division to make optimal funding decisions, given a certain risk limit.
We propose a funding approach based on stochastic programming. Our approach allows the Division’s portfolio manager to minimize the funding costs while hedging against market risk. We employ principal component analysis and Monte Carlo simulation to develop a multicurrency scenario generation model for interest and exchange rates. Market rate scenarios are used as input to three different optimization models. Each of the optimization models presents the optimal funding decision as positions in a unique set of financial instruments. By choosing between the optimization models, the portfolio manager can decide which financial instruments he wants to use to fund the loan portfolio.
To validate our models, we perform empirical tests on historical market data. Our results show that our optimization models have the potential to deliver sound and profitable funding decisions. In particular, we conclude that the utilization of one of our optimization models would have resulted in an increase in the Division’s net income over the past 3.5 years.
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Hornbrinck, Johannes, and Jonas Olausson. "Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-90971.
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Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. The function of a carry trade strategy is that a short position is taken in a low interest rate currency to finance a long position in another currency offering higher yields. This thesis is adding to the existing literature that is explaining the characteristics of currency carry trade but is adopting a different approach than most other recent researches that has focused on identifying especially risk factors. Gold as a financial asset has also received much attention largely due to its, contrarily to other asset classes, low dependence on macroeconomic factors. This makes gold desirable to diversify portfolios and decreasing overall risks. By investigating how the returns of currency carry trades and gold relates to each other an increased understanding in how carry trades can be beneficially included in managing portfolios are developed. Looking at a currency carry trade index, Deutsche Bank’s G10 Currency Future Harvest index, and the development of the gold price at the London bullion market for the 20 year period of 1993-2013 this research is exploring correlation, mean and volatility spillover effects. Spearman’s correlation, Vector Autoregression and a diagonal BEKK GARCH model are employed to test these effects. It also investigates if gold possesses hedge, diversifier and safe haven characteristics when combined with carry trades as it has been found to do with stock markets. This is determined by a regression analysis and supplemented by a portfolio simulation. This thesis found that there is a low positive correlation between the returns of gold and currency carry trades and that there is spillover effects as well between the two in both returns and volatility. This in addition to the regression analysis and portfolio analysis determined that there are diversification benefits by adding gold to a portfolio consisting of currency carry trade in the form of higher risk adjusted returns. However special caution has to be taken to the spillover effects as these complicate the relationship between the returns of the two variables and especially the volatility spillover effects slightly decreases the potential diversification benefit. The regression analysis concluded that gold work as a diversifier for carry trade but could not determine if it also exhibited hedge or safe haven characteristics. These findings pushes the existing understanding of carry trades forward and adds to focus of matching carry trades within a portfolio which could have implications to more efficiently match risks and returns by combining several asset classes in portfolio management.
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Diogo, Tiago Rodrigo Andrade. "O impacto da taxa de câmbio em investimentos no mercado accionista." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1542.
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Mestrado em FinançasA finalidade deste estudo é analisar e comparar o impacto da taxa de câmbio em investimentos financeiros, nomeadamente na rendibilidade e no risco de carteiras de acções, compostas por um conjunto de índices de vários países. A amostra é constituída por 11 países da zona euro, Reino Unido, Suíça, Japão e EUA. Trabalhamos com cotações diárias para o período compreendido entre 31 de Dezembro de 2001 e 31 de Dezembro de 2007. A metodologia utilizada foi desenvolvida em duas etapas: a primeira baseou-se no uso da análise factorial e teve como objectivo observar o impacto da taxa de câmbio na relação entre os diversos mercados; a segunda comparou as rendibilidades e o índice de Sharpe, da carteira óptima, avaliados nas diferentes moedas. Foi possível concluir através da análise factorial que a moeda afecta a relação entre os mercados formando clusters diferentes consoante a moeda utilizada. Também podemos concluir que as alterações nas taxas de câmbio afectam a composição e a rendibilidade das carteiras óptimas. No entanto, quando analisamos a significância estatística do impacto das taxas de câmbio verificamos, através da ANO VA, que globalmente este impacto não é relevante. Quando testamos a significância estatística das diferenças entre pares de moedas verificamos as diferenças são estatisticamente relevantes no que respeita à rendibilidade das carteiras em 5 casos de 10 e apenas em 1 caso de 10 no que respeita ao índice de Sharpe.
The purpose of the present study is to analyze and compare the currency impact on financial investments, namely the return and risk of stock portfolios, consisting of a set of indexes of several countries. The sample consists of 11 countries of the euro zone, UK, Switzerland, Japan and USA. We work with daily prices comprising the period from 31 December 2001 to 31 December 2007. The methodology is developed in two stages: the first was based on factor analysis and aimed at observing the impact of exchange rate on the relationship among the various markets; the second compared the returns and the Sharpe index in different currencies. Through factor analysis, we concluded that currency affects the relationship among markets forming different clusters depending on the currency used. We further observed that the changes in exchange rates affect the composition and return of the optimal portfolio. However, when we test statistical significance of the currency impact, the overall effect is not relevant. When the statistical significance of differences between pairs of currencies is tested, the differences are statistically significant in 5 cases out of 10 with regard to the portfolios returns and only in one case out of 10 with regard to the Sharpe index.
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Nascimento, Artur Manuel Miguel. "O impacto da taxa de câmbio sobre carteiras de acções : uma análise empírica." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11235.
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Mestrado em FinançasEste estudo tem como propósito realizar uma análise comparativa do impacto da taxa de câmbio na rendibilidade, no risco e na performance em quatro tipos de carteiras de acções internacionais, constituídas por uma série de índices de vários países. O período escolhido pretende analisar o impacto da taxa de câmbio na última na composição das carteiras e se estas diferem realmente do antes e após crise. A amostra do estudo é composta por 6 países americanos: Estados Unidos da América, Canadá, Brasil, México, Colômbia e Peru. Para cada um destes países foram extraídas as cotações diárias para o período compreendido de 31 de Dezembro de 2001 a 31 de Dezembro de 2012. A metodologia utilizada no trabalho tem 2 objectivos. O primeiro pretende demonstrar a rendibilidade e o desvio padrão de cada carteira, o segundo objectivo comparar as rendibilidades e o Índice de Sharpe para as quatro carteiras em estudo, avaliados nas diversas divisas. Através da análise estatística aos índices, é possível concluir que no que toca às rendibilidades a significância estatística não é relevante para a maioria dos investidores. Contrariamente para o desvio padrão a significância estatística é relevante. Para as variações nas taxas de câmbio é possível concluir que estas influenciam a estrutura, rendibilidade e desvio padrão das diversas carteiras. No entanto, essa variação não parece globalmente relevante quando analisada a sua significância estatística.
The purpose of this study is to analyze and compare the impact of the exchange rate on the return and risk/return in four types of international equity portfolios, consisting of a series of indexes of several countries. The chosen period analyses the impact XXXX financial crisis in portfolio composition and if there is a really difference before and after the crisis. The study sample consists of 6 countries, these being, United States, Canada, Brazil, Mexico, Colombia and Peru. For all countries we extracted daily prices for the period 31 December 2001 to 31 December 2012. The methodology used in this work has two objectives: the first aims to demonstrate the return and the standard deviation of each index, the second objective compares the returns and Sharpe ratio for the four portfolios under study, assessed in different currencies. Through statistical analysis of the indices, we conclude that with respect to yields the statistical significance is not relevant to most investors. For the variations in exchange rates is possible to conclude that these influence the structure, return and standard deviation of the various portfolios. However, this variation does not seem relevant when analyzing the overall statistical significance.
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Barva, David. "Investiční modely v prostředí finančních trhů." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-233137.
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This master thesis evaluates about investing in the currency market, commonly known as Forex. The master thesis is primarily deal with proposal of automated trading system for trading in major currency pairs using breakout strategies. These strategies creation is based on market analysis, volatility, correlation and analysis revealing patterns of time during the trading day. In practical part is formed diversified investment portfolio composed of five investment profitable strategies, which were used during four-month testing period on unknown market data.
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Payne, M. K. "Hedging and trading models for currency options portfolios." Thesis, Imperial College London, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296907.
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Crespo, Cuaresma Jesus, Ines Fortin, and Jaroslava Hlouskova. "Exchange rate forecasting and the performance of currency portfolios." Wiley, 2018. http://dx.doi.org/10.1002/for.2518.
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We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates: the euro versus the US dollar, the British pound, and the Japanese yen. We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single currencies and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, two trading strategies, mean squared error-based composite forecasts, and different forecast horizons. Our results indicate that there are clear benefits of integrating exchange rate forecasts from state-of-the-art econometric models in currency portfolios. These benefits vary across investor preferences and prediction horizons but are rather similar across trading strategies.
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Morgan, Dave B. "Portfolio management in the Air Force : current status and opportunities." Thesis, Massachusetts Institute of Technology, 2011. http://hdl.handle.net/1721.1/67564.
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Thesis (S.M. in Engineering and Management)--Massachusetts Institute of Technology, Engineering Systems Division, System Design and Management Program, 2011.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 65-68).
There are hundreds of weapons programs, under the management of the United States Air Force worth billions of dollars. These programs are being developed to fulfill a need in the U.S. defense strategy. Bringing these weapon systems to operational status is not an easy process. It takes communication and coordination of many stakeholders and development of state-of the-art technology. More often than not, weapons programs are developed with the final cost and schedule being much higher that forecasted. Inherently weapons systems are expensive, however the costs of these systems continue to rise with no apparent end in sight. The Government Accountability Office, RAND, Congressional studies and the Defense Acquisition Performance Assessment have has criticized the Department of Defense for escalating costs. These studies point to poor requirement definition, errors in cost and scheduling forecasts, poor oversight, bad decisions by the government, and failure to adopt recommendations from reform policies as the main causes. One way ameliorate cost escalation is to employ portfolio management technique. The Air Force groups their weapon systems into 20 portfolios. Some form of portfolio management has been employed for the last decade. Portfolio management cannot solve the issues above but it can offer a solution that can potentially save millions and perhaps billions of dollars This thesis examines the Air Force's current use of Portfolio Management theory and what opportunities we can do to improve it in the acquisition community. The thesis poses three research questions: 1) How can the Air Force better employ portfolio management to curb cost overruns and schedule delays in their weapon acquisition programs? 2) What can the Air Force do to empower portfolio managers for success? 3) What barriers can the Air Force eliminate or streamline to help portfolio managers execute their portfolios more effectively and efficiently. Acquisition professionals were interviewed to glean their perspectives and opinions. More specifically acquisition personnel were asked how portfolio management was being executed and how can the Air Force improve this technique to better execute weapon systems programs. From these interviews and the research conducted, the following recommendations were made: 1) Program Executive Officers should be given more authority with respect to utilizing funds and hiring of specialized personnel 2) The Air Force needs to streamline the process for reallocating funds and, 3) The Air Force needs to modify number of reporting requirements and policy changes to make the process more efficient and effective.
by Dave B. Morgan.
S.M.in Engineering and Management
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Koren, Øystein Sand. "Contrasting broadly adopted model-based portfolio risk measures with current market conditions." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2009. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9824.
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The last two years have seen the most volatile financial markets for decades with steep losses in asset values and a deteriorating world economy. The insolvency of several banks and their negative impact on the economy has led to criticism of their risk management systems for not being adequate and lacking foresight. This thesis will study the performance of two broadly adopted portfolio risk measures before and during the current financial turbulence to examine their accuracy and reliability. The study will be carried out on a case portfolio consisting of American and European fixed income and equity. The portfolio uses a dynamic asset allocation scheme to maximize the ratio between expected return and portfolio risk. The market risk of the portfolio will be calculated on a daily basis using both Value-at-Risk (VaR) and expected shortfall (ES) in a Monte Carlo framework. These risk measures are then compared with prior measurements and the actual loss over the period. The results from the study indicate that the implemented risk model do not give totally reliable estimates, with more frequent and larger real losses than predicted. Nevertheless, the study sees a significant worsening in the performance of the risk measures during the current financial crisis from June 2007 to December 2008 compared with the previous years. This thesis argues that VaR and ES are useful risk measures, but that users should be well aware of the pitfalls in the underlying models and take appropriate precautions.
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Garaba, Masimba. "The current role of modern portfolio theory in asset management practice in South Africa." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1002699.
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This research examines the role that modern portfolio theory (MPT) plays in current South Africa asset management practice in comparison to other portfolio management techniques and security evaluation methods. The purpose of asset management is to pool complementary financial market expertise, in order to generate returns in excess of the market return on the investments of the owners of financial resources that are entrusted to the firm, since the owners of financial resources might not be able to make superior investment decisions on their own. The research presents and discusses the literature pertaining to modern portfolio theory, traditional portfolio theory (fundamental and technical analyses), and behavioural finance theory. The implication of the efficient market hypothesis in relation to all the portfolio management theories is also presented and discussed. In line with a positivist paradigm, the survey research methodology, which combines both qualitative and quantitative aspects, was adopted. The instrument used for data collection was a questionnaire, which was found to be reliable and valid for this research. The questionnaire encompassed the Lickert scale to measure the data. The results of the analysis were interpreted using descriptive statistics. The results of this research suggest that modern portfolio theory does not play a significant role in the management of portfolios and security evaluation in South Africa. South African asset managers regard fundamental analysis as the most significant method of security evaluation in the management of portfolios. Technical analysis and econometric models are regarded as playing a moderate role and complement fundamental analysis whilst behavioural finance models play the least role. This research recommends an integrated portfolio management strategy that incorporates MPT, traditional portfolio theory and behavioural finance models to enhance investor value and protection.
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Škaroupka, Petr. "Návrh pojistného portfolia pro společnost ÚKLIDOVÝ SERVIS ŠKAROUPKA s. r.o." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-222070.
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The aim of my Masters thesis is propose the insurance portfolio for legal entity - the Brno based company Úklidový servis ŠKAROUPKA s.r.o. The thesis contains risk analysis and also concept of insurance portfolio that aims to minimaze risks that could limit the company running by the way of insurance product.
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Lau, Sau-ching Helen. "A survey of current assessment practices in the day nurseries : some challenges and opportunities for portfolio assessment." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B35544545.
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Lau, Sau-ching Helen, and 劉秀清. "A survey of current assessment practices in the day nurseries: some challenges and opportunities for portfolio assessment." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B35544545.
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Tandiroglu, Isil. "Exploring The Perceptions Of Teachers About Their Current And Desired Competencies Defined By Cef And Elp: A Case Study." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609809/index.pdf.
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The purpose of this study is to find out the required teacher competencies in the implementation of the Common European Framework (CEF) and the English Language Portfolio (ELP) and to explore the perceptions of teachers about their current and desired competencies defined by CEF and ELP.
The required competencies for the teachers are defined in the book calledCommon European Framework of Reference for Languages. This book being a reference for the whole European Union countries, identifies required teacher competencies under four common European principlesa graduate profession, a profession placed within the context of lifelong learning, a mobile profession, a profession based on partnerships, and three key competencies
work with information, technology and knowledge, work with their fellow human beings &ndash
learners, colleagues and other partners in education, and work with and in society - at local, regional, national, European and broader global levels. A group of 40 teachers randomly selected at the Department of Basic English, School of Foreign Languages at the Middle East Technical University participated in this case study. A questionnaire about required teacher competencies in the implementation of the CEF and the English Language Portfolio was administrated to these teachers and the results were analyzed quantitatively and with the use of the descriptive and exploratory statistics. The findings obtained revealed that the teachers that participated in the questionnaire found themselves to be very competent in the required teacher competencies defined in the Common European Framework of Reference for Languages, however, they would like to have to be experts in these competencies and also they have found these competencies to be very important.
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Снегирев, Ю. О., and Yu O. Snegiryov. "Организация банковского потребительского кредитования: проблемы и тенденции развития : магистерская диссертация." Master's thesis, б. и, 2020. http://hdl.handle.net/10995/95058.
Full textAbstract:
Выпускная квалификационная работа (магистерская диссертация) посвящена исследованию Банковского потребительского кредитования, и тенденций его развития. Предметом исследования являются экономические отношения, возникающие в процессе организации потребительского кредитования в коммерческом банке. Цель выпускной квалификационной работы (магистерской диссертации) заключается в разработке практических мероприятий по совершенствованию банковского потребительского кредитования. В заключении подводятся итоги проведенного исследования, делаются основные выводы и обобщаются перспективные направления по развитию потребительского кредитования в коммерческом банке.The final qualification work (master's thesis) is devoted to the study of Bank consumer lending, and its development trends. The subject of the study is economic relations arising in the process of organizing consumer lending in a commercial bank. The purpose of the final qualification work (master's thesis) is to develop practical measures to improve consumer banking lending. In conclusion, the results of the study are summarized, the main conclusions are drawn and perspective directions for the development of consumer lending in a commercial bank are summarized.
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Abbas, Syed Mohammad Ali. "From foreign aid to domestic debt : essays on government financing in developing economies." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:95219b5a-4e24-4190-b5e3-95fb3d0b2425.
Full textAbstract:
The first essay [“Twin Deficits and Free Lunches: Macroeconomic Outcomes In Anticipation of Foreign Aid”] concerns itself with situations in which private agents anticipate a future windfall (free lunch) that will help service the debt resulting from a present fiscal expansion (implemented via a temporary tax cut). Such expectations of a windfall can arise in the context of natural resource discoveries or, more interestingly, due to perceptions by agents in “too important to fail” countries that will be bailed out through higher foreign aid or debt relief. We employ an overlapping generations model featuring credit constraints to study the real effects of such free lunch expectations in a small open economy, drawing contrasts with the standard tax and money finance closure rules. The model is solved analytically and shows that anticipated aid is equivalent to current aid when agents have perfect foresight, so that a temporary tax cut is seen as permanent. Accordingly, agents raise their consumption and indebtedness (at the expense of future generations) by an amount that is an increasing function of their “impatience” (subjective rates of time preference plus probability of death). A worsening of the current account obtains (twin deficits) across a range of plausible closure rules, including those featuring money finance. The introduction of credit constrained households (we study the variant where myopic agents spend their current disposable incomes) does not alter the basic result in the case of full aid finance, but does matter for mixed tax-aid regimes, in more complex settings where agent expectations and donor promises on aid diverge, and when governments face borrowing constraints so that the timing of aid delivery matters. The second essay [“The Role of Domestic Debt in Economic Growth: An Empirical Investigation For Developing Economies”] focuses on the remaining source of government financing, i.e. domestic debt, and the role it can play in mobilizing private savings, facilitating credit intermediation in higher risk settings (i.e. serving a “collateral” function on bank balance sheets), developing financial markets and supporting economic growth in general. To investigate this question empirically, we set up a new domestic debt database covering about 100 developing economies, going back three decades to 1975; explore Granger causality links between domestic debt and key macroeconomic and institutional variables; and estimate the growth impact of domestic debt using panel regressions, allowing for non-linear effects. Domestic debt, as a share of GDP is found to exert a significant positive impact on economic growth, with potential channels including domestic savings mobilization, provision of risk-insurance on banks’ balance sheets; and greater institutional accountability of the state to its citizens. Although this result countervails more established arguments against domestic debt (i.e. that it leads to crowding out and banks to become lazy), there is some evidence that above a ratio of 35 percent of bank deposits, domestic debt does begin to undermine economic growth. The growth payoff also depends on debt quality, with higher payoffs observed for positive interest-rate bearing marketable debt issued to nonbank sectors. The third and final essay [“Why Do Banks in Developing Economies Hold Domestic Government Securities?”] explores demand-side determinants of domestic debt, by focusing on commercial bank holdings of government paper, discriminating carefully between voluntary factors (such as mean-variance portfolio optimization) and statutory ones (cash reserve and capital adequacy requirements). The analysis is made possible by the construction of a dataset on government and private returns (real and nominal) for almost 600 banks from 70 emerging and low-income economies, spanning the (pre-Basel II) period 1995-2005. A battery of structural cross-section regressions indicates that banks’ portfolio decisions are at least as significantly influenced by mean-variance considerations as regulatory factors: the actual portfolio share of government securities (λ) responds intuitively, and sizably, to variations in the moments of the distributions for government and private returns as well as in the minimum-variance portfolio share (λ*). Higher cash reserve requirements tilt portfolios away from government securities toward riskier private lending, while higher capital adequacy requirements work the other way. The association between actual portfolios and the identified determinants is noticeably weaker at lower ends of the λ distribution, suggesting the domination of non-CAPM factors in those contexts.
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Li, Chia-Ching, and 李佳卿. "Constant Return Portfolio Analysis:a Case of Currency and Currency Options." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/16672047878506399860.
Full textAbstract:
碩士輔仁大學
金融研究所
84
The goals of this thesis are to design a strategy for an investor withcurrency position to gain the preset rate of return and to see the effectivenessof the strategy . Under the strategy, a portfolio is formed by a currencyposition and a put option . In this study, the optimal put options are solvedby presetting the required rate of return 、 predicted price of put options andexchange rate 、 current price of put options and exchange rate and currencyposition. Dynamic adjustment strategy and static adjustment strategy are considered.Under both strategies , the currency position is fixed during the investmentperiod . As to the put option position , under dynamic adjustment strategy , theoptimal put positions must be made every period ( except the final period ) andthe previous optimal put option must be offset when the new one is made . Understatic adjustment strategy , the optimal put options are build in the startingperiod and offset in the final period . Then the rate of return of thepostfolio is compared with the preset rate of return to see the effectivenessof the strategy. Using the put option data of Yen, Mark , Britch pound and SwissFrance , from July,1993 to June,1994, the empirical results indicate :1.the rateof return of Yen portfolio is the closest and the British portfolio is thefarthest to the preset return in dynamic adjustment strategy . 2. the rate ofreturn of Mark portfolio is the closest and the France portfolio is the farthestto the preset required return in static adjustment. 3.Dynamic adjustment strategyis not better than static adjustment strategy. 4. The predictive errors of putprice and foreign exchange rate do not have significant relationship with therate of return of portfolio.
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Wei, Hao-Xuan, and 魏浩軒. "The empirical study of currency portfolio." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/58850996806924832138.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
100
In this paper, we adapt “Mean-Variance Portfolio Model”, which was issued by Markowitz in 1952, is the relationship of trade-off between return and risk . This model make investors find the most suitable portfolio when they have decision -making. In people's point of view, this paper attempts to our investment in Australian dollars Canadian dollars, yen, pounds, dollars, euro , which categorizes investment portfolio to (a)Minimum Risk Portfolio, (b) Efficient the Portfolio, (c) Feasible the Portfolio, (d) Tangency Portfolio. The empirical results are as follows: Firstly, regardless of the monthly or weekly frequency, and the same return rate of Feasible Portfolio and Efficient Portfolio, the less standard deviation of Efficient Portfolio means that the importance of visible asset allocation. By investors may bear the risk amount, Tangency Portfolio, more suited to investors who are risk lovers. Conversely, the Minimum Variance Portfolio Efficient the Portfolio, is more suitable for risk averse investors. Secondly, regardless of the month or week frequency, four methods of portfolio was no risk premium. When the level of significance is set to 5%, and these models are all the null hypothesis (H0:δ=0), there are no existing phenomenon of the GARCH-M. The Portfolio can achieve risk reduction efficiently. Thirdly, comparing these four portfolio by Sharp ratio, the best Sharpe ratio of Efficient Portfolio is 0.42, and the second one, Tangency Portfolio, is 0.29.
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CHEN, YI-YUAN, and 陳鐿元. "The Study of the Portfolio Hedging Strategy on Currency Forward Contracts and Currency Futures." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/97560939658618287344.
Full textAbstract:
碩士國立臺北大學
合作經濟學系
94
This study tests the abnormality (over-reaction or under-reaction) of Taiwan public stock market. We construct portfolios based on the different levels of return and volume applying the concept of Filter Rules proposed by Cooper (1999). The purpose is to show whether portfolio experienced extreme prior price index changes and volume changes have more significant continuing or reversing tendency. Turnover rate of individual securities is used as the proxy of volume. The data include the weekly returns and volumes of the individual securities in Taiwan stock market during 1991-2005. Empirical results suggest that the Taiwan stock market exhibits inefficiency which shows under-reaction or over-reaction, that is, winners continue to win and losers continue to lose. Portfolios with higher prior return tend to maintain higher return in current period, and vice versa. The above tendency is more significant when winner/loser portfolio is judged by return of two consecutive prior periods rather than just one prior period. It implies that stock return in longer period may contain more information for prediction of future return movement. The growth of turnover rate is significantly related to the portfolio return in the same period. However, turnover rate fails to provide useful information in predicting the future return
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HUANG, BO-KAI, and 黃柏凱. "The Study of the Portfolio Hedging Strategy on Currency Forward Contracts and Currency Futures." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/96132246557408562249.
Full textAbstract:
碩士國立臺北大學
合作經濟學系
94
The study is to make use of five kinds of currency futures of Japanese yen, S.African Rand, Swiss Franc, Swed. Krona and Australian Dollar, adopt hedging strategies of single future position, two kinds of futures portfolio position, three kinds of futures portfolio position, four kinds of futures portfolio position and five kinds of futures portfolio position, to hedge risk of NT/US currency forward contracts. In order to get better hedging strategies, make minimum variance hedge model and risk-return trade-off hedge model to analyze hedging effectiveness of hedging strategies. The data cover the period from July 1, 2000, through March 20, 2006, and divided into in-sample period and out-of-sample period, adopt hedging periods of 10 days, 30 days, 60 days, 90 days and 180 days, to estimate hedging ratio and hedging effectiveness. Show through the empirical result, in minimum variance hedge model, what has been estimated OLS model and GARCH model hedging effectiveness value, show hedging period and hedging effectiveness are about positive correlation, in-sample and out-of-sample of 20 day hedging period and 30 day hedging period are very great differences. In addition, the hedging effectiveness value of futures portfolio position hedging strategies will be greater than single future position hedging strategy, if hedging strategies include Japanese yen futures, it can improve the hedging effectiveness. In risk-return trade-off hedge model, if the hedging effectiveness considers return and risk, the hedging strategies are not good strategies. In general, all kinds of NT/US currency forward contracts have nearly the same hedging strategies.
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YANG, CHIEN-YING, and 楊千瑩. "Analysis on the Portfolio of International Currency Carry Trade." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/vjmr6b.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
105
This study is mainly based on the investor's perspective, for Taiwan's low interest rate environment, the establishment of international currency investment portfolio, performance analysis and comparison, to provide investors to face the currency carry trade of reference basis. The study covers 11 years of historical data from January 2006 to December 2016, and is researched and analyzed on a monthly basis. The research process puts the carry trade into the portfolio. The empirical results are divided into two phases. The first stage shows that the portfolio performance is better after joining the RMB. The second stage short results show that in the long - term deviation trading strategy three currency portfolios-8Pairs,Long1/Short1and Long3/Short3,Long3 / Short3 combination of the highest average return rate over the years, tend to high pay investors can consider Long3 / Short3 combination, and 8Pairs combination compared to Long1 / Short1 and Long3 / Short3 volatility is more stable, tend to stable investors can consider the 8Pairs portfolio.
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Zhang, Hong-xiong, and 張宏雄. "Currency Substitution and Inflation Hedges: A Portfolio Balance Approach." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/54810089030342284191.
Full textAbstract:
碩士國立中山大學
經濟學研究所
103
Based on the Calvo and Rodriguez (1977) model featuring portfolio balance framework, this paper deals with currency substitution and inflation hedges in an open sized economy. We draw attention to the asset substitutability and the relative qualities of various assets as hedges against inflation in both crawling peg policy and flexible exchange rate policy. Under crawling peg policy, a reduction in the rate of depreciation will lead the residents decrease their amount of domestic currencies and increase their amount of foreign currencies and inflation hedges. When under flexible exchange rate policy, if the central bank would let the monetary supply to continually increase, the residents will decrease their amount of domestic currencies and increase their amount of foreign currencies and inflation hedges.
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Chang, Yu-Tang, and 張育棠. "The currency portfolio of Taiwan's major trading partners." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/04921481964184900708.
Full textAbstract:
碩士國立屏東商業技術學院
國際企業所
101
This thesis use the modern portfolio theory (Modern Portfolio Theory, MPT) that proposed by Markowitz for our 14 major trading foreign exchange for the country to rival the most efficient portfolio of assets. This article through the following methods to identify the most efficient combination of assets: (a) a risk-weighted assets and a risk-weighted assets, (2) two risky assets and a risk-weighted assets portfolio, (3) N kinds of risky assets. Withventing and no venting , to identify the most efficient asset portfolio model. We got Renminbi, Singapore dollars and Australian dollars in the portfolio should occupy heavier in proportion.
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Kao, Wei-Chun, and 高瑋均. "A Study of Integrating Currency Arbitrage and Portfolio Selection Models." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/2pkq4w.
Full textAbstract:
碩士國立臺北科技大學
經營管理系碩士班
102
Portfolio selection problems are usually formulated as a quadratic programming program for finding a diversified portfolio that has the highest return for a given risk or the lowest risk for a given return. The formulated model can handle discrete assets, transaction costs, and logical constraints. Although many models have been proposed to investigate the portfolio optimization problems, the fluctuation in the currency market is rarely discussed in the mean-variance portfolio model. However, the currency exchange rates may affect the return of the selected portfolio dramatically. This study therefore considers currency arbitrage and portfolio selection optimization models to derive integrated deterministic models. According to spot exchange and forward exchange rates of the currency market, a revised portfolio selection model is constructed to derive an optimal portfolio. The model also considers transaction costs, currency arbitrage, and risk preferences. Numerical example results illustrate the effectiveness and efficiency of the proposed model and solution processes. Analysis results also provide useful insights into the problem.
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WEI, MING-TSUNG, and 魏敏聰. "Research on the Fluctuation of International Reserve Currency Investment Portfolio." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/xr5apz.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
106
The International Monetary Fund created a Special Drawing Right (SDR) in 1969 as a reserve asset and a billing unit to support the Bretton Woods system''s fixed currency. The further devaluation of the U.S. dollar in 1973 caused a complete collapse of the Bretton Woods system. In July 1974, the International Monetary Fund formally declared that the SDR should be decoupled from gold and switched to a basket of 16 currencies as a valuation standard. In 1976, the international community reached a Floating exchange rate legalization. In 1981, the IMF began to be simplified into five major currencies including the United States dollar (42% weight), Mark (19%), the franc (13%), the Japanese yen (13%) and the pound sterling (13%). We will review the currencies and weights every 5 years in the future and it is updated to 2017 with five major currencies including USD (41.73%), EUR (30.93%), JPY (8.33%), GBP (8.09%) and RMB (10.92%). This paper mainly discusses the combination of SDR monetary weight adjustment and daily exchange rate from 1981 to 2017 calendar year, and uses Markowitz''s portfolio theory to calculate the risk changes of its floating exchange rate system. Empirical results: Every 5 years, the IMF can reduce the exchange rate risk brought by the floating exchange rate system according to the proportion of financial variables and the representative adjustment weights.
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Wang, Hsiang-An, and 王祥安. "Pricing and Hedging Cross-Currency Portfolio Option with Stochastic Interest Rates." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/88174725081838251508.
Full textAbstract:
碩士國立政治大學
國際貿易研究所
92
In most cases, investment is made of building a portfolio rather than single asset. Therefore, it is necessary to develop techniques of valuing portfolio derivatives. Moreover, we consider a cross-currency portfolio that account for currency and interest rate risk. As interest rate is stochastic, we use Heath-Jarrow Morton (HJM) Approach to describe its dynamics. Applying Vorst (1992); Geman, Karoui and Rochet(1995), we derive the approximated close-form of the cross-currency portfolio option. In HJM Approach, it is difficult to acquire hedge ratios of options. We apply another method to build a hedging portfolio. Then, we perform numerical simulations to test its hedging efficiency and sensitivity with respect to different variables.
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Wu, Kun-Yi, and 吳坤益. "The Estimation of Covariance Matrix and the Construction of Currency Portfolio." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/jcrfb7.
Full textAbstract:
碩士國立高雄應用科技大學
金融系金融資訊碩士班
102
How to do asset allocation effectively is an important issue in investment portfolio. The mean-variance portfolio model which is proposed by Markowitz is a famous way to construct portfolio, but it will have a major problem which is came from estimating covariance matrix and caused errors of estimation with this covariance matrix. In our research, we used four different ways including sample covariance model(SAM), implicit factor model(IFAC), implicit factor GARCH model(IFAC-G) and full-factor multivariate GARCH model(FFMG) to estimate covariance matrix, and constructing a currency portfolio with a variety of currency including USD, CNY, JPY, EUR, SGD, GBP, CAD, UKD and AUD relative to TWD. The data of research is currency’s daily return rates from 2006/01/01 to 2013/12/31. We will create covariance matrix and expected return rate by forecasting and rebalancing in every month. In the end, we use a variety of performance comparative ratio to be the indicators for testifying the performance of portfolio and selecting the covariance matrix with the better ability to minimize risk and maximize expected return. In our research, we find IFAC-G can create better performance than other models. It means implicit factor GARCH model have a better ability to estimate covariance matrix and construct a portfolio. In the other hand, sample covariance model has the better ability to control the risk.
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Ou, Che Yuan, and 歐哲源. "The Performance Analysis of Using Momentum and Carry Trade in Currency Portfolio." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/14522143788355271380.
Full textAbstract:
碩士國立政治大學
金融研究所
104
In this thesis, we mainly investigate whether it could improve the performance of currency portfolio by adjusting weights among carry trade, momentum and market return in foreign exchange market under different kinds of regimes. Based on a sample of 28 market currencies, we form three kinds of transactions in our portfolio, including carry trade, momentum, and market return. Under Markov switching model, we divide the sample period into three regimes, and then determine weights among carry trade, momentum and market return by parameters of each re-gime using Markowitz mean-variance analysis. Finally, we invest different weights among three transactions according to each expected regime. We find the result that although the return of the strategy is just a little higher than the carry trade, the risk is much lower compared to other transactions. In our out-of-sample testing, we analyze the performance by using the data of the regime two which begins September, 2012. With the respect to the return, most of other risky transactions have negative return, but we get positive return by adjusting the long position and short position according to the result of the mean-variance anal-ysis. However, we can not effectively reduce risk by using the strategy, and in the meantime it can explain the high uncertainty investors face toward the next period.
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HO, CHUN-HUNG, and 何俊宏. "Application of technology indicators for the optimal portfolio—Evidence from main foreign currency exchange." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/11727598230333591091.
Full textAbstract:
碩士中原大學
國際貿易研究所
98
In view of the growing liberalization of international banking market, the exchange rates tend to fluctuate violently. The exchange rate becomes a very important factor for the corporate and individual investment. At the same time, fluctuations of the foreign exchange rates also deeply influence the value of the company and the profits of investors.Both corporate and individual investors dream to make profits by predicting price movements. Scholars and experts have been trying to find out the rule of changing foreign exchange rates and serve it as the basis for access to foreign exchange markets.To use the technical analysis on investment strategies is getting mature. Although the concept of the portfolio can reduce investment risk, the investors still have to face a considerable degree of investment risk. Our research gets cross exchange daily data in Taiwan market as sample from Thomson Reuters, cover period from January 1, 2009 to December 31, 2009. We compare the return under portfolio theory and technical analysis with the market return in the same period. In portfolio theory part, we use main foreign currencies as target investments and apply Markowitz efficient frontier to decide optimal weight accordingly. There are 4 optimal portfolios according to the past 1 year, half year, 3 months and 1 month respectively. In technical analysis part, we use the cross of technical analysis indicators, such as Moving Average, Stochastics and Directional Movement Index, to decide the timing of trading and discuss the return of the past 1 year, half year, 3 months and 1 month. The empirical results show that under the portfolio theory, we can use the various foreign currencies returns and volatility in the past different time periods as the basis of judgment for filtering the best portfolio. For example, the Australian dollar is the best target for one-year or six-month investment.We find that the characteristic of the technical analysis can help us to have a better performance in the fluctuant market, which can avoid huge loss to devour profits in the short market, but have a worse performance then average in the flat market.Therefore, the use of technical indicators for trading signals will be effective for a larger return on investment.
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Kou, Yung-Hsia, and 寇永夏. "A Study on Utilizing Currency Portfolio to Mitigate Foreign Exchange Rate Risk on Shopping Industry." Thesis, 1990. http://ndltd.ncl.edu.tw/handle/30922772380158776612.
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Lee, Shih Chou, and 李詩周. "Foreign Exchange Rate Hedging via Currency Portfolio in Shipping Industry - A Case of Shipping Company." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/81448789925839694536.
Full textAbstract:
碩士長庚大學
企業管理研究所
95
Abstract Rate of exchange was always moving quickly when global economic environment changed. Some of enterprises usually did some hedging by Forward and Options for keeping their profit. Of course, they had to pay cost for such activities. The shipping industry run a global business and always had cash flow with multiple currencies. Self-hedging should be another alternative for cash management. For testing the effect of self-hedging via currency portfolio in shipping industry, this study established a portfolio model using Microsoft Excel Solver. Sample company existed three main exposure position USD, EUR and JPY. This study tried to get a conclusion by comparing the portfolio return and variance between actual portfolios with model estimated. This study found that the portfolio return was negative under minimum variance assumption. When we changed the assumption to maximum return, and then the portfolio return and variance increased a lot at the same time. The truth was showing us the rule of investment again. The higher expected return was always following the higher risk. When we put actual portfolio done by sample company to the model. The portfolio variance was higher than minimum variance, but portfolio return was changed to positive. We have achieved a result after running through our portfolio model. The actual currency portfolio could not reach the level of minimum risk. But sample company only incurred slight loss from rate of exchange in cash position. Obviously their currency portfolios were staying at reasonable area under acceptable risk. All in all, the strategy for hedging via currency portfolio in shipping industry was workable.
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Trung, Do Khac, and 杜克忠. "Optimal Multi-Currency Portfolio Construction and Evaluation by VaR Approach in the Taiwan Foreign Exchange Market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/39t66v.
Full textAbstract:
碩士國立虎尾科技大學
財務金融系碩士班
104
This study deals with selecting the most appropriate technique predicting precisely the exchange rate risk. To gain that aim, we apply three main approaches, namely, the Historical Simulation Approach, the Variance-Covariance Approach and the Monte Carlo Simulation Approach. Covering daily data from 2009 to 2015 on the Taiwan foreign exchange market, our main finding shows that the EWMA (Historical Simulation) along with the Equally Weighted (Monte Carlo Simulation) exhibited the lowest loss as well as beat a benchmark, are the most optimal methods for VaR estimation. Moreover, results on backtesting suggest that seven of nine our proposed models work effectively at 99% confidence level during empirical period.
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Zhou, Ying. "Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis." Thesis, 2010. http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974.
Full textAbstract:
MV is the traditional method to treat international portfolio selection problems, which bases its theory on the assumption of Normal Distribution. However, during economy recession the portfolio return turns out to be a fat tail distribution. Therefore, in this sense, we explore Roy’s SF criterion and apply the extreme theory to the historical data. We demonstrate how such portfolios would perform during the Asian Crisis, IT Bubble Bust and the Financial Crisis separately. We also compare the SF portfolio’s performance to the MV portfolio’s performance, therefore to check, SF and MV portfolio, which will outperform during bust and boom of the economy. The Asian Crisis was marked with great currency devaluation and lower currency return on equity. The Dot.Com Bubble Busts was known for its sharp plummet in the stock market, while, the Financial Crisis was known as the large falls in the US stock market and elsewhere. They are the extreme events of the world capital markets, which in some way contribute to the non-normal distribution.
Simulated results over the 1997-2010 period which include six busts and booms: the Asian Crisis, period after Asian Crisis, IT Bubble Bust, period after IT Bubble Bust, The Financial Crisis and period after The Financial Crisis, indicate that SF portfolio outperforms MV portfolio during most of the times, this result is especially obvious for Indonesian and Thailand.
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Hwang, Tung Chyi, and 黃東棋. "The Application of Mean-Variance Criterion and Stochastic Dominance Criterion in the Selection of International Currency Portfolio." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/26296395799886298824.
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Mourinho, João Bernardo Santos Correia. "Currency risk hedging in international equity portfolios : evidence from a principal component analysis." Master's thesis, 2014. http://hdl.handle.net/10400.14/16647.
Full textAbstract:
This thesis dissertation analyses the correlation structure of foreign equity returns and exchange rate returns, and explores the impact of hedging exchange rate risk on international equity portfolios, using a principal component analysis – the study comprises the period from January 1992 to December 2013. We hedged an equally weighted equity portfolio by adding currency positions in an overlay fashion. By doing so, we increased portfolio returns but also volatility. Nevertheless, we found that the risk-reward ratio improved. When comparing this methodology to an OLS hedging, where both returns and volatility decreased, we observe a higher increase of risk-reward ratio in the PCA hedging. In addition, it improves skewness, while in OLS hedging it deteriorates, and decreases kurtosis.
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Kuo, Chia-Min, and 郭佳旻. "An Empirical Research on Currency Hedging Strategies: Evidence from an International Portfolio of Taiwan and Unitede States Bonds." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/86340425069446478243.
Full textAbstract:
碩士國立臺北商業技術學院
財務金融研究所
97
This research investigates currency hedging strategies by a portfolio composed by ten-year government bonds of Taiwan and United States of America. To observe the effects of overseas bonds investment and risk with different strategy, this study uses currency forward contract as a hedging tool, efficient frontier, Sharpe ratio, hedge effect, Value at Risk, component Value at Risk and Lower Partial Moment(LPM) as six indicators of performance measurement to compare the performance of unhedged strategy and the optimal hedge strategy. The experimental result shows that the choice of sample period and the weight of each investment asset will affect how the indicators choosing the best hedging strategy. If ten-year government bonds of Taiwan and United States of America are half and half in the portfolio, the selective hedge strategy is better for the data of whole period and the optimal hedge strategy is better for the annual data. Without setting the portfolio ratio, the always hedge strategy is the best, the optimal hedge strategy is the second, and there is no significant difference for the selective hedge strategy and unhedged strategy. Finally, this research suggests that it is essential to adopt an appropriate hedging strategy. Because there is variable assumption and target of each performance indicators, the best hedging strategy of each indicators will be different. Investors should concern their targets and degree of risk aversion to decide which indicator and hedging strategy is the most suitable.
48
Gunes, Damla. "Understanding Carry Trade Risks Using Bayesian Methods: A Comparison with Other Portfolio Risks from Currency, Commodity and Stock Markets." Thesis, 2012. https://doi.org/10.7916/D87M0FZB.
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The purpose of this dissertation is to understand the risks embedded in Carry Trades. For this, we use a broad range of stochastic volatility (SV) models, estimate them using Bayesian techniques via Markov chain Monte Carlo methods, and analyze various risk measures using these estimation results. Many researchers have tried to explain the risk factors deriving Carry returns with standard risk models (factor models, Sharp ratios etc.). However, the high negative conditional skewness of Carry Trades hints the existence of jumps and shows that they have non normal returns, suggesting looking only at first two moments such as sharp ratios or using standard risk models are not enough to understand their risks. Therefore, we investigate Carry risks by delving into its SV and jump components and separate out their effects for a more thorough analysis. We also compare these results with other market portfolios (S&P 500, Fama HML, Momentum, Gold, AUD/USD, Euro/USD, USD/JPY, DXY, Long Rate Carry and Delta Short Rate Carry) to be able to judge the riskiness of Carry relative to other investment alternatives. We then introduce a new model diagnostic method, which overcomes the flaws of the previous methods used in the literature. This is important since model selection is a central question in SV literature, and although various methods were suggested earlier, they do not provide a reliable measure of fit. Using this new diagnostic method, we select the best-fitted SV model for each portfolio and use their estimation results to carry out the risk analysis. We find that the extremes of volatility, direct negative impact of volatilities on returns, percent of overall risk due to jumps considering both returns and vols, and negative skewness are all more pronounced for Carry Trades than for other portfolios. This shows that Carry risks are more complicated than other portfolios. Hence, we are able to remove a layer from the Carry risks by analyzing its jump and SV components in more depth. We also present the rolling correlations of these portfolio returns, vols, and jumps to understand if they co-move and how these co-movements change over time. We find that despite being dollar-neutral, Carry is still prone to dollar risk. DXY-S&P appear to be negatively correlated after 2003, when dollar becomes a safe-haven investment. S&P-AUD are very positively correlated since both are risky assets, except during currency specific events such as central bank interventions. MOM becomes negatively correlated with Carry during crisis and recovery periods since MOM yields positive returns in crisis and its returns plunge in recovery. Carry-Gold are mostly positively correlated, which might be used to form more enhanced trading and hedging strategies. Carry-S&P are mostly very positively correlated, and their jump probability correlations peak during big financial events. Delta Carry, on the other hand, distinguishes from other portfolios as a possible hedging instrument. It is not prominently correlated to any of the portfolios. These correlations motivate us to search for common factors deriving the 11 portfolios under consideration. We find through the Principal Component Analysis that there are four main components to explain their returns and two main components to explain their vols. Moreover, the first component in volatility is the common factor deriving all risky asset vols, explaining 75% of the total variance. To model this dynamic relationship between these portfolios, we estimate a multivariate normal Markov switching (MS) model using them. Then we develop a dynamic trading strategy, in which we use the MS model estimation results as input to the mean-variance optimization to find the optimal portfolio weights to invest in at each period. This trading strategy is able to dynamically diversify between the portfolios, and having a sharp ratio of 1.25, it performs much better than the input and benchmark portfolios. Finally, MS results indicate that Delta Carry has the lowest variance and positive expected return in both states of the MS model. This supports our findings from risk analysis that Delta Carry performs well during volatile periods, and vol elevations have a direct positive impact on its returns.
49
Chung, Fu-Mei, and 鍾富美. "An Analysis of the Return and Risk of the Foreign Currency Deposits Portfolio－A Case of U.S. Dollar and Australian Dollar." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/rn9z3c.
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碩士國立臺灣師範大學
高階經理人企業管理碩士在職專班(EMBA)
105
The aim of this study is to explore whether the portfolios of Australian dollar deposits and US dollar deposits can effectively eliminate foreign exchange (forex) risk, performing stable profits. This study compares different proportions of Australian dollar deposits and US dollar deposits to analyze which one is the optimal investment. Each portfolio applies the rates of USD/TWD and AUD/TWD from January 1, 2006 to December 31, 2015 to produce 120 monthly returns. by empirical analyzing and comparing different returns and their variants, the figures indicate that there is no significant difference between different portfolios. However, there is a significant difference in the degree of investment risk. The combined portfolio of Australian dollar deposits and US dollar deposits can effectively avoid the foreign exchange risk from investing in 100% US dollar deposits or 100% Australian dollar deposits. Furthermore, this study finds that portfolios of 70%/80% US dollar deposits combined with 30%/20% Australian dollar deposits are the best hedge ratio portfolios.
50
Chou, Ching-Hsuan, and 周靖軒. "Applying a Genetic Algorithm to Construct a Cross-Hedging Portfolio of the Foreign Currency Futures for the New Taiwan Dollar Exchange Rate." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/42063964995614031986.
Full textAbstract:
碩士實踐大學
資訊科技與管理學系碩士班
101
There is no centralized market to trade the foreign currency futures for directly hedging of the New Taiwan dollar exchange rate. If the hedger doesn’t want to pay the higher cost to trade the foreign currency derivative in the over-the-counter market for direct hedging, he can choose to bear the higher basis risk by trading a foreign currency future in the centralized market for cross-hedging. Previous studies in the literatures show that when there is a long-term stable relationship between the spot price of the New Taiwan dollar exchange rate and the price of a foreign currency future, the cross-hedging effect of the foreign currency future for the New Taiwan dollar exchange rate tends to good and stable performance. This means that to increase the cross-hedging effect the hedger had better choose a foreign currency future among all of the foreign currency futures with a high correlation price change to the New Taiwan dollar exchange rate. In this paper, a portfolio of the foreign currency futures is considered to obtain the better cross-hedging effect in contrast to use of a foreign currency future alone in the previous studies. We then realize it by applying a genetic algorithm to determine the best hedging weight for each of the foreign currency futures.