Analysis of Bitcoin's Impact on the Efficiency of a Diversified Portfolio for Brazilian Investors

The role of commodities in a diversified portfolio has been the subject of research and debate since the late 1970s. Investors can hold the physical commodity or use derivatives such as futures contracts to access commodity exposure. Institutional investors primarily gain exposure to commodities via futures contracts. Commodity futures returns are comprised of a collateral return, a spot return, and a roll return. Research dating back to the late 1970s suggests that commodities should be included in diversified portfolios because they act as an inflation hedge, are portfolio diversifiers due to negative correlation with stocks and bonds, and potentially offer returns and volatility comparable to equities. Commodity performance has been generally weak in the years following the financial crisis of 2007–2008. Many studies find that correlation of commodity returns with stocks and bonds increases during periods of financial stress.

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Australia

10.1093/oso/9780198717973.003.0016 ◽

2018 ◽

Author(s):

Simon Ville

Keyword(s):

Twentieth Century ◽

Multinational Corporations ◽

Business Model ◽

Capital Markets ◽

Business Groups ◽

Business Group ◽

Modern History ◽

Resource Base ◽

Australian Economy ◽

Diversified Portfolio

Business groups have been limited in number and influence for most of Australia’s modern history. Several entrepreneurs managed a diversified portfolio of interests, and business families often cooperated with one another, but this rarely took the form of a business group. When the Australian economy diversified into manufacturing from its initial narrow resource base, multinational corporations formed a dominant presence. Governments built infrastructure but did not facilitate groups. Maturing capital markets negated the need for in-house treasuries. Business groups temporarily dominated the corporate landscape for several decades towards the end of the twentieth century, but their business model was flawed in relation to the Australian environment and most failed to survive the downturn of the late 1980s and early 1990s.

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International Diversified Portfolio Optimization With Artificial Neural Networks

Advances in Business Information Systems and Analytics - Machine Learning Techniques for Improved Business Analytics ◽

10.4018/978-1-5225-3534-8.ch009 ◽

2019 ◽

pp. 201-223

Author(s):

Mehmet Fatih Bayramoglu ◽

Cagatay Basarir

Keyword(s):

Machine Learning ◽

Neural Networks ◽

Artificial Neural Networks ◽

Machine Learning Techniques ◽

Portfolio Performance ◽

Foreign Companies ◽

Developed Markets ◽

Learning Techniques ◽

Artificial Neural ◽

Diversified Portfolio

Investing in developed markets offers investors the opportunity to diversify internationally by investing in foreign firms. In other words, it provides the possibility of reducing systematic risk. For this reason, investors are very interested in developed markets. However, developed are more efficient than emerging markets, so the risk and return can be low in these markets. For this reason, developed market investors often use machine learning techniques to increase their gains while reducing their risks. In this chapter, artificial neural networks which is one of the machine learning techniques have been tested to improve internationally diversified portfolio performance. Also, the results of ANNs were compared with the performances of traditional portfolios and the benchmark portfolio. The portfolios are derived from the data of 16 foreign companies quoted on NYSE by ANNs, and they are invested for 30 trading days. According to the results, portfolio derived by ANNs gained 10.30% return, while traditional portfolios gained 5.98% return.

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Frictional Costs of Diversification: How Many CTAs Make a Diversified Portfolio?

Derivatives and Hedge Funds ◽

10.1057/9781137554178_1 ◽

2016 ◽

pp. 3-19

Author(s):

Bernd Scherer

Keyword(s):

Diversified Portfolio

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Mastershares: A Bonanza for Large Investors

Vikalpa The Journal for Decision Makers ◽

10.1177/0256090919910103 ◽

1991 ◽

Vol 16 (1) ◽

pp. 29-34 ◽

Cited By ~ 5

Author(s):

Samir K Barua ◽

Jayanth R Varma

Keyword(s):

Mutual Fund ◽

Point Of View ◽

Small Investors ◽

Funds Management ◽

Points Of View ◽

Unit Trust ◽

Diversified Portfolio

What is the performance of Mastershares the first all-equity, closed-end growth fund launched in 1986 by the Unit Trust of India — from the points of view of funds management, large investors and small investors? Samir K Barua and Jayanth R Varma examine this aspect using various portfolio measures suggested in the literature. According to them, from the perspective of funds management, Mastershares has outperformed the market. Its performance from the point of view of large investors holding Mastershares only as part of a diversified portfolio has also been excellent. However, from the point of view of investors who choose Mastershares as the principal vehicle for investment in equity, its performance is mediocre. Since most small investors are likely to be in this category and any mutual fund such as Mastershares ought to serve small investors, its inadequate performance is a matter of concern.

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Financial Advice and Portfolio Diversification

Accounting and Finance Research ◽

10.5430/afr.v8n4p178 ◽

2019 ◽

Vol 8 (4) ◽

pp. 178

Author(s):

Augustine C. Arize ◽

Tao Guo ◽

John Malindretos ◽

Lawrence Verzani

Keyword(s):

Financial Institution ◽

Portfolio Diversification ◽

Insurance Companies ◽

Financial Advice ◽

Portfolio Decisions ◽

Investment Portfolios ◽

Diversified Portfolio

This paper examines whether households diversify their investment portfolios and whether portfolio diversification could be affected by where investors seek advice. We found that respondents find advice from banks, insurance companies, and brokerage houses less helpful compared to reading investment research and financial periodicals when making their portfolio decisions. Comparing among the advice from all type of financial institution or financial professionals, it is found that advice from brokerage houses is still the most helpful. But when looking at their actual portfolio diversification, those who rely on brokers’ advice ended up with a less diversified portfolio. These findings support our hypothesis that investors’ portfolio could be negatively influenced because of the services they received from brokerage houses.

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A Multi-Greedy Approach to Optimal Diversified Portfolio Selection

SSRN Electronic Journal ◽

10.2139/ssrn.3203540 ◽

2018 ◽

Author(s):

Francesco Cesarone ◽

Andrea Scozzari ◽

Fabio Tardella

Keyword(s):

Portfolio Selection ◽

Greedy Approach ◽

Diversified Portfolio

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Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts

Mathematical Problems in Engineering ◽

10.1155/2014/843240 ◽

2014 ◽

Vol 2014 ◽

pp. 1-13 ◽

Cited By ~ 1

Author(s):

Yufang Liu ◽

Wei-Guo Zhang ◽

Rongda Chen ◽

Junhui Fu

Keyword(s):

Optimal Solution ◽

Optimal Number ◽

Stock Index ◽

Futures Contracts ◽

Equivalent Transformation ◽

Stock Index Futures ◽

Index Futures ◽

Proposed Model ◽

Diversified Portfolio

It is difficult for passive portfolio strategy to manage the long-term exposure of a well-diversified portfolio because stock index futures contracts have a finite life limited by their maturity. In this paper, we investigate the problem of the rollover hedge strategy for the long-term exposure of a well-diversified portfolio. First, we consider the rollover hedge strategy for the well-diversified portfolio when the portfolio is not adjusted during the period. In order to obtain the optimal solution of the proposed model, the auxiliary models are constructed using the equivalent transformation technique. Moreover, dynamic programming is employed to derive the optimal positions of stock index futures contracts for the long-term exposure of the well-diversified portfolio. In addition, we extend the result to the case of the rollover hedge strategy with transaction costs and derive the optimal number of stock index futures contracts.

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