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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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 |