Πλοήγηση ανά Συγγραφέα "Giorgalou, Maria"
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Τεκμήριο The diversification benefits of sovereign bond portfolios, an application to the U.S. stock market(03/16/2022) Giorgalou, Maria; Γιώργαλου, Μαρία; Athens University of Economics and Business, Department of International and European Economic Studies; Antoniou, Fabio; Varthalitis, Petros; Dendramis, YiannisThe international diversification is a critical matter in finance since investors gain through diversifying their securities in the stock market. Diversification in portfolio theory means that it is more profitable to invest in a portfolio of diversified assets than in a single security. Investors trade assets in exchange market in order to hedge risk of their financial assets. One basic target in diversification process is to success minimum possible dependence between different financial assets in a portfolio to minimize the risk. In this paper, we discuss the investors’ problem regarding choosing the best combination of portfolio mean and variance of returns among a collection of available assets. Investors consult the efficient portfolio frontier to get the best optimal solution, EPF represented as a curve in a graph and shows all optimal opportunity sets (best combinations of expected return and standard deviation) knowing the existence of risk for their investments. Markowitz theory (1952) is an efficient strategy to find the best optimal method to scale the weights of the portfolio, to get the maximum expected return at a specified level of risk. Markowitz using the Global Minimum Variance Portfolio in his theory of Modern Portfolio with only one parameter, the covariance matrix of the asset returns helps investors find the most profitable matrix of portfolio weights while minimizing the variance between assets and risk. To conclude, the extension of Markowitzs’ portfolio theory is a more efficient method since it solves many portfolio selection problems as it is more accurate using the duration time whether is long-term or short-term strategies.