2011 硕士论文 Portfolio strategies in an international setting

Table of Content
Executive summary .................................................................................. 2
1.0 Introduction ............................................................................................... 2-4
1.1 Research objectives ........................................................................ 5
1.2 Structure of thesis………………………………………………………………………..……..………….6
1.3 Assumption and limitations .............................................................................. 7-9
2.0 The theoretical approach ................................................................................ 10
2.1 International diversification ....................................................................... 11-15
2.2 Portfolio theory ............................................................................................ 16-24
2.3 Portfolio strategies .................................................................................... 25-29
2.4 Performance measures ……………………………………………………………….………….30-32
2.5 Econometrics ……………………………………………………………………………………........33-35
3.0 The empirical approach .................................................................... 36
3.1 Attractiveness of the Danish market…………………………………………………………37-38
3.2 Diversification in Denmark in a down side Perspective. ...................................... 38-44
4.0 Portfolio performance ……….........…………………………………..……………………...…….45
4.1 From theory to practice, Portfolio model..……..…………………………..…………..…46-52
4.2 Performance of portfolio models ……….................………………………………..……….52-55
4.3 From theory to practice, Portfolio strategies………………………………………..…...55-59
4.4 Performance of Strategies…………………………………………………………..……………60-61
4.5 Conclusion performance of models and strategies……………………………….………...62
5.0 Effect of transaction costs …………………………………………………………………...….....63
5.1 The effect of transaction costs……………………………………………………..…………...64-66
5.2 Portfolio performance of the models inclusive transaction costs…………...…..67-68
5.3 The Effect of Transaction Cost to Portfolio Strategies………………………………..68-69
5.4 Portfolio performance of the strategies inclusive transaction costs……..…….70-71
5.5 The effect of transaction costs conclusion………………………………………..……………72
6.0 How does our top models perform in comparison with real life funds? . 73-75
7.0 Thesis Conclusion ........................................................................................ 76-79
8.0 Bibliography & References ................................................................... 79-86