Innocents Abroad: Currencies and International Stock Returns Critique

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Presentation transcript:

Innocents Abroad: Currencies and International Stock Returns Critique Alvaro Fernandez Yizhen Liu Daniel Mejia Yitian Xue

Agenda Benefits of International Asset Allocation Correlation between different markets using returns data Portfolio standard deviation Efficient frontier and our recommendation

Benefits of International Asset Allocation Greater diversification.

Correlations between the different markets using returns data (Problem 4b)

Correlations between the different markets using returns data – Cont.

Portfolio Standard Deviation (Problem 4d)

Portfolio Standard Deviation (Problem 4d)

Efficient Frontier Minimum Variance Portfolio

Recommendation

Reasoning Behind the Recommendation International asset allocation--- Diversification Portfolio risk management and optimization