International portfolio diversification: analyzing efficient portfolios with various risk measures from a Dutch perspective

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dc.contributor.advisorFüllbrunn, S.
dc.contributor.authorBremo, Jonathan
dc.date.issued2016-08-04
dc.description.abstractThis paper investigates whether there are international portfolio diversification benefits from a Dutch perspective. To accomplish this, several domestic, regional (European) and international portfolio were created. These portfolios were analyzed using the Efficient Frontier Model of Markowitz as altered by Solnik (1974; 1993) in conjunction with several quantitative measures; EF index, Sharpe ratio, Sortino ratio and Treynor ratio. The analysis covers a sample period of 14 year (2002 – 2015) as well as sub-periods before and after the Global Financial Crisis. The results of this study are expected to show there are international diversification benefits for the Dutch investor.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/3227
dc.language.isoenen_US
dc.thesis.facultyFaculteit der Managementwetenschappenen_US
dc.thesis.specialisationFinancial Economicsen_US
dc.thesis.studyprogrammeMaster Economicsen_US
dc.thesis.typeMasteren_US
dc.titleInternational portfolio diversification: analyzing efficient portfolios with various risk measures from a Dutch perspectiveen_US
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