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http://hdl.handle.net/11531/27070| Título : | International diversification and global credit risk: a methodology for portfolio building |
| Autor : | Martín Bujack, Karin Alejandra Irene Corzo Santamaría, María Teresa Figuerola Ferretti Garrigues, Isabel Catalina |
| Fecha de publicación : | 31 |
| Resumen : | credi risk and portfolio diversification Credit risk has recently been identified as a cause of declining international diversification capacity; in this paper we offer an alternative methodology to create an equity portfolio with exposure to global credit risk and controlled market risk. Following the factor decomposition methodology, we reduce a sample of the biggest international companies to a portfolio composed by just 11 stocks, representing different risk factors, which show high diversification in terms of systematic risk and a risk-return binomial comparable to benchmark international equity indices |
| Descripción : | Artículos en revistas |
| URI : | http://hdl.handle.net/11531/27070 |
| ISSN : | 1698-5117 |
| Aparece en las colecciones: | Artículos |
Ficheros en este ítem:
| Fichero | Descripción | Tamaño | Formato | |
|---|---|---|---|---|
| UNIVERSIA INGLES noviembre 2017-iff.pdf | 389,86 kB | Adobe PDF | Visualizar/Abrir Request a copy |
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