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dc.contributor.advisorΠιττής, Νικήτας
dc.contributor.authorΓκέκα, Στεφανία - Αλεξάνδρα
dc.contributor.authorGeka, Stefania - Alexandra
dc.date.accessioned2017-12-11T07:19:20Z
dc.date.available2017-12-11T07:19:20Z
dc.date.issued2017-07
dc.identifier.urihttps://dione.lib.unipi.gr/xmlui/handle/unipi/10280
dc.format.extent166el
dc.language.isoenel
dc.publisherΠανεπιστήμιο Πειραιώςel
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Διεθνές*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.titleCommodity super-cyclesel
dc.typeMaster Thesisel
dc.contributor.departmentΣχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικήςel
dc.description.abstractENCommodities have been treated as return boosters, and risk hedgers in portfolio management, especially after the 2007 crisis. The purpose of this research is to examine if and in what extent do commodities affect the portfolio’s mean return and diversification benefits, as measured by the portfolio’s standard deviation, Value at Risk and Sharpe ratio. For this purpose we constructed two – asset portfolios, containing a stock index and a bond index, and three-asset portfolios, containing a stock, a bond and a commodity index. We estimated the parameters in examination (mean return, standard deviation, Value at Risk and Sharpe ratio) of these portfolios with Monte Carlo simulations, for three different periods: (1) The whole period of our data, (2) the combined expansion periods (as noted by the National Bureau of Economic Research) and (3) the combined recession periods. We evaluate those results, to conclude on the commodities impact in portfolio optimization.el
dc.contributor.masterM.Sc. Banking and Financial Marketsel
dc.subject.keywordCommoditiesel
dc.subject.keywordValue – at – Risk (VaR)el
dc.subject.keywordMonte Carlo simulationel
dc.subject.keywordDiversificationel


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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές

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Η δημιουργία κι ο εμπλουτισμός του Ιδρυματικού Αποθετηρίου "Διώνη", έγιναν στο πλαίσιο του Έργου «Υπηρεσία Ιδρυματικού Αποθετηρίου και Ψηφιακής Βιβλιοθήκης» της πράξης «Ψηφιακές υπηρεσίες ανοιχτής πρόσβασης της βιβλιοθήκης του Πανεπιστημίου Πειραιώς»