TESTING OF INTERNATIONAL PORTFOLIO

Christine, Adi Njotosutikto and Putu Anom , Mahadwartha (2017) TESTING OF INTERNATIONAL PORTFOLIO. In: International Conference on Finance, Management and Business, 12 Desember 2017, Jakarta. (Unpublished)

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Abstract

This research is investigating diversification of international portfolio versus diversification of domestic portfolio that have a better performa. As said Solnik (1974) diversification of international portfolio will reduce risk of portfolio better than domestic portfolio. To measure performance of portfolio this research uses Treynor, Sharpe and Jensen. An optimal international and domestic portfolio based on Single Index Model that support the efficient frontier of optimal portfolio. Test showed that international portfolio have better performance than domestic portfolio in the context of Treynor and Sharpe measurement. But domestic portfolio have a better performa than international portfolio in the context higher return (Jensen alpha) and its also noticed that high return is the consequence of high risk

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: diversification of international portfolio, single index model, home bias
Subjects: H Social Sciences > HG Finance
Divisions: Postgraduate Programs > Master Program in Management
Depositing User: Putu Anom mahadwartha 31140
Date Deposited: 16 Nov 2017 00:35
Last Modified: 16 Nov 2017 00:35
URI: http://repository.ubaya.ac.id/id/eprint/31143

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