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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| Main Authors: | , |
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| Other Authors: | |
| Format: | Theses and Dissertations |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7385 |
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| Institution: | Nanyang Technological University |
| Summary: | 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. |
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