• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

International portfolio diversification : commodities

Hussain, Khawar; Alija, Lulzim
Master thesis
Thumbnail
View/Open
MScfinalthesis2012HussainAlija.pdf (2.609Mb)
URI
http://hdl.handle.net/11250/94927
Date
2013-02-13
Metadata
Show full item record
Collections
  • Master of Science [1116]
Abstract
We study whether Norwegian Investors should include commodities in their portfolios. Firstly, we discuss the correlation and dispersion between commodities and international equity markets, in addition to possible time trends in the correlation and dispersion between the commodity and the equity market. Secondly, we analyze the return-to-risk tradeoff and the mean-variance efficiency when adding commodities to traditional portfolios. We find no added improvement to the mean-variance efficiency or Sharpe ratio of traditional buy-and-hold equity strategies. Moreover, we find that there are no significant time trends between the MSCI world index and S&P GSCI all commodities return correlations in both USD and NOK. We also find that there are significant, but small, positive time trends in return correlations between the Oslo Exchange All Share and the S&P GSCI all commodities.
Description
Masteroppgave (MSc) in Master of Science in Business and Economics, Handelshøyskolen BI,2013

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit