Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Can allocation to emerging markets decrease the risk for the Swedish investor?

Windmar, Carl LU (2024) NEKN01 20241
Department of Economics
Abstract (Swedish)
This study examines the effects on risk-minimisation by incorporating emerging market equities in a portfolio, from the perspective of a Swedish investor. Since investors usually care about returns these are also a part of the study. The hypothesis is that the international diversification benefits will outweigh the higher risks of emerging market equities. The analysis is conducted on 267 monthly observations for 20 equity indices, in the time period January 2002 to March 2024. The methodology is using three different optimisation strategies, mean-variance, minimum variance and minimum CVaR both in-sample and out-of-sample. There are two datasets, one without any currency hedges and one fully currency hedged. The results are that... (More)
This study examines the effects on risk-minimisation by incorporating emerging market equities in a portfolio, from the perspective of a Swedish investor. Since investors usually care about returns these are also a part of the study. The hypothesis is that the international diversification benefits will outweigh the higher risks of emerging market equities. The analysis is conducted on 267 monthly observations for 20 equity indices, in the time period January 2002 to March 2024. The methodology is using three different optimisation strategies, mean-variance, minimum variance and minimum CVaR both in-sample and out-of-sample. There are two datasets, one without any currency hedges and one fully currency hedged. The results are that including emerging markets in an equity portfolio for a Swedish investor can provide less risk for an investor or increase risk-adjusted returns depending on the objectives of the investor. (Less)
Please use this url to cite or link to this publication:
author
Windmar, Carl LU
supervisor
organization
course
NEKN01 20241
year
type
H1 - Master's Degree (One Year)
subject
keywords
Portfolio Management, Emerging Markets, Equities, Risk
language
English
id
9161883
date added to LUP
2024-10-01 13:10:49
date last changed
2024-10-01 13:10:49
@misc{9161883,
  abstract     = {{This study examines the effects on risk-minimisation by incorporating emerging market equities in a portfolio, from the perspective of a Swedish investor. Since investors usually care about returns these are also a part of the study. The hypothesis is that the international diversification benefits will outweigh the higher risks of emerging market equities. The analysis is conducted on 267 monthly observations for 20 equity indices, in the time period January 2002 to March 2024. The methodology is using three different optimisation strategies, mean-variance, minimum variance and minimum CVaR both in-sample and out-of-sample. There are two datasets, one without any currency hedges and one fully currency hedged. The results are that including emerging markets in an equity portfolio for a Swedish investor can provide less risk for an investor or increase risk-adjusted returns depending on the objectives of the investor.}},
  author       = {{Windmar, Carl}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Can allocation to emerging markets decrease the risk for the Swedish investor?}},
  year         = {{2024}},
}