Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Kaw, Kelvin Jon Wua, Zaqy Mohamad
Other Authors: Srinivasan, Bobby Sundaravaradhan
Format: Theses and Dissertations
Published: 2008
Subjects:
DRNTU::Business::Finance::Portfolio management
Online Access:http://hdl.handle.net/10356/7385
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
id sg-ntu-dr.10356-7385
record_format dspace
spelling sg-ntu-dr.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
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Portfolio management
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
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.
author2 Srinivasan, Bobby Sundaravaradhan
author_facet Srinivasan, Bobby Sundaravaradhan
Kaw, Kelvin Jon Wua
Zaqy Mohamad
format Theses and Dissertations
author Kaw, Kelvin Jon Wua
Zaqy Mohamad
author_sort Kaw, Kelvin Jon Wua
title 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_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_sort optimal portfolio diversification in the asia-pacific region incorporating currency risk and interest rate term premiums
publishDate 2008
url http://hdl.handle.net/10356/7385
_version_ 1789483080236400640

Similar Items