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Title: Optimal portfolio diversification in the Asia-Pacific region incorporating currency risk and interest rate term premiums
Authors: Kaw, Kelvin Jon Wua
Zaqy Mohamad
Keywords: DRNTU::Business::Finance::Portfolio management
Issue Date: 2003
Abstract: 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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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