International Diversification an Australian Perspective

ISBN-13: 9783639193800 / Angielski / Miękka / 2009 / 220 str.

Rakesh Gupta

Opis

This book provides an overview of the Australian equity market and develops a framework for testing the benefits of diversifying investments into emerging equity markets for Australian investors. In the process book highlights the differentiating characteristics of Australian market with that of the other developed markets. An overview of the emerging equity markets is also presented in this study. To test the benefits this study uses advanced model (Asymmetric Dynamic Conditional Correlations GARCH model)to estimate time-varying correlations that produces better estimates of correlations to construct optimal portfolios. Probable causes for the changes in correlations are also tested. The results of the study can be extended to identify other markets that can provide superior risk adjusted returns in the emerging or frontier markets.

O autorze

Rakesh completed his Bachelor's degree in science, MBA in Finance, Masters in Accounting and Finance. He recently completed his doctoral thesis in the area of international portfolio diversification. Rakesh teaches at the CQ University, Queensland, Australia. Prior to moving into Academia he has worked in industry for about 10 years.