Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7385
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.
URI: http://hdl.handle.net/10356/7385
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

Files in This Item:
File Description SizeFormat 
NBS-THESES_326.pdf
  Restricted Access
3.33 MBAdobe PDFView/Open

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.