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Thesis (Bachelor's)

Reykjavík University > Samfélagssvið / School of Social Sciences > BSc Viðskiptadeild (og BSc sálfræði -2019) / Department of Business Administration >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1946/38757

  • Multi-asset class portfolios : risk and return effects for Icelandic investors
  • Bachelor's
  • The purpose of this research is to analyze how multi-asset class investing impacts the risk-return relationship of portfolios. The main concepts and theories that the multi-asset class literature is based on are described. A mean-variance framework is used to construct efficient portfolios based on four asset classes. There are two different methods used in order to capture portfolio returns. First by using data based on Icelandic indexes that represent each asset class from the period 1st of January 2010 to 1st of January 2021. Second, by using long-term historical returns which are established from 16 developed countries across the world from the time period 1950 to 2015. To analyze the diversification effects of including various asset classes in portfolios, different portfolios are constructed with different asset class compositions. The findings show that when an additional asset class is included in a portfolio, the risk-return relationship improves. The findings suggest that multi-asset investing is beneficial and can greatly reduce portfolio risk.

  • Jun 7, 2021
  • http://hdl.handle.net/1946/38757

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