is Íslenska en English

Lokaverkefni (Meistara)

Háskóli Íslands > Félagsvísindasvið > Meistaraprófsritgerðir - Félagsvísindasvið >

Vinsamlegast notið þetta auðkenni þegar þið vitnið til verksins eða tengið í það: http://hdl.handle.net/1946/32813

Titill: 
  • Titill er á ensku Efficient Asset Allocation between Domestic and Foreign Assets: A Comparative Study from an Icelandic, British and Polish Perspective
Námsstig: 
  • Meistara
Útdráttur: 
  • Útdráttur er á ensku

    The aim of this paper is to research home bias in portfolio allocation and determine the optimal allocation for an Icelandic investor between domestic and foreign assets using a Sharpe ratio maximisation model. The analysis will be repeated from a British and Polish perspective, and the three sets of results compared.
    Recent abolishment of capital controls on the Icelandic króna has sparked interest in international investment by Icelandic investors, who have historically held an overwhelming majority of their portfolios in domestic assets and thus been affected by home bias. From a theoretical risk management perspective, international diversification is essential to protecting portfolio value against adverse conditions in the domestic economy, but the extent to which to diversify internationally is an important question which this paper seeks to answer.
    Home bias is not restricted to Icelandic investors, investors all over the world suffer from it. As the world gets more open and interconnected, the justification for home bias becomes weaker and weaker. By comparing home bias and optimal asset allocation for Icelandic, British and Polish investors, this paper concludes that there are many similarities between the three countries, and the main conclusion is the same in every case – investors typically under diversify their portfolios and could unlock significant gains by further investment in foreign assets.

Samþykkt: 
  • 9.5.2019
URI: 
  • http://hdl.handle.net/1946/32813


Skrár
Skráarnafn Stærð AðgangurLýsingSkráartegund 
Textaskjal_Prentutgafa_MedFyrstuSidu.pdf3.39 MBOpinnHeildartextiPDFSkoða/Opna
SkemmanYfirlysing.pdf102.17 kBLokaðurYfirlýsingPDF