Item Details

Portfolio Diversification Across Segmented Financial Markets

Anderson, Derek
Format
Thesis/Dissertation; Online
Author
Anderson, Derek
Advisor
Scherer, William
Bailey, Robert
Peterson, Steven
Abstract
Regional price to earnings ratios, aggregated at the industry level for a country or geographic region, possess forward-looking information regarding volatility-reducing diversification based on a test-control paired experiment using random selection to form portfolios. Market segmentation theory proposes that segmented financial markets are subject to different shocks than internationally integrated financial markets. Multiple performance metrics are analyzed, and correlation of diversification holdings with pre-existing assets varies directly with increased growth opportunities and segmentation measures as defined by Bekaert, Harvey, Lundblad, and Siegel (2007 and 2011). The randomized portfolio experiment developed in this work is ripe for extension and customization as a tool to aid in portfolio management.
Language
English
Date Received
20170507
Published
University of Virginia, Department of Systems Engineering, MS (Master of Science), 2017
Published Date
2017-07-23
Degree
MS (Master of Science)
Collection
Libra ETD Repository
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