Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums
The dissertation explores the concept of time-varying international portfolio allocation from the perspective of a global investor holding the world portfolio, diversifying in toe the Asia-Pacific region. The paper involves the application of the International CAPM framework to generate optimal hold...
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| Format: | Thesis |
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2008
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| Online Access: | http://hdl.handle.net/10356/7385 |
| _version_ | 1826123970747826176 |
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| author | Kaw, Kelvin Jon Wua Zaqy Mohamad |
| author2 | Srinivasan, Bobby Sundaravaradhan |
| author_facet | Srinivasan, Bobby Sundaravaradhan Kaw, Kelvin Jon Wua Zaqy Mohamad |
| author_sort | Kaw, Kelvin Jon Wua |
| collection | NTU |
| description | The dissertation explores the concept of time-varying international portfolio allocation from the perspective of a global investor holding the world portfolio, diversifying in toe the Asia-Pacific region. The paper involves the application of the International CAPM framework to generate optimal holding, employing a QTARCH process to model time-varying quantities and prices of risk. |
| first_indexed | 2024-10-01T06:13:02Z |
| format | Thesis |
| id | ntu-10356/7385 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T06:13:02Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/73852024-01-12T10:22:36Z Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums Kaw, Kelvin Jon Wua Zaqy Mohamad Srinivasan, Bobby Sundaravaradhan Nanyang Business School Ronny Setiawan DRNTU::Business::Finance::Portfolio management The dissertation explores the concept of time-varying international portfolio allocation from the perspective of a global investor holding the world portfolio, diversifying in toe the Asia-Pacific region. The paper involves the application of the International CAPM framework to generate optimal holding, employing a QTARCH process to model time-varying quantities and prices of risk. Master of Science (Financial Engineering) 2008-09-18T07:44:50Z 2008-09-18T07:44:50Z 2003 2003 Thesis http://hdl.handle.net/10356/7385 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Portfolio management Kaw, Kelvin Jon Wua Zaqy Mohamad Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums |
| title | Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums |
| title_full | Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums |
| title_fullStr | Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums |
| title_full_unstemmed | Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums |
| title_short | Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums |
| title_sort | optimal portfolio diversification in the asia pacific region incorporating currency risk and interest rate term premiums |
| topic | DRNTU::Business::Finance::Portfolio management |
| url | http://hdl.handle.net/10356/7385 |
| work_keys_str_mv | AT kawkelvinjonwua optimalportfoliodiversificationintheasiapacificregionincorporatingcurrencyriskandinterestratetermpremiums AT zaqymohamad optimalportfoliodiversificationintheasiapacificregionincorporatingcurrencyriskandinterestratetermpremiums |