Global diversified portfolio through conditional value at risk measure

Abstract

The main purpose of the current work is the development of a global diversified portfolio. A well - diversified international portfolio is generated using data from five different sectors of the following three stock exchanges:Athens stock exchange (FTSE / Athex Large Cap)London stock exchange (FTSE 100)NYSE or NASDAQ (S & P 500)The current dissertation provides an overarching view of the different risk measures and various types of financial risks. Given that numerous risk measures are presented, we opt for using Conditional Value - at - Risk measure. In addition, descriptive statistics of monthly returns of equities and Composite Indices are included. This dissertation considers three different approaches – conservative, moderate and aggressive portfolio – to develop global diversified portfolios. We compare the optimized portfolio against FTSE / Athex Large Cap with Euro as the base currency. In essence, we construct a better portfolio than the market using the specified risk measure in all cases. Notwithstanding the above, it is a common belief that generation of a good and profitable portfolio depends on various parameters.