United State Dollar(USD) and Portfolio Diversification: Evidence Form Core South Asian Countries.
In this project, we examine the diversification capabilities of the United State Dollar spread across six asset classes (namely Equity, Fixed Income, Commodities, Real Estate, Money Market and alternative investment) from the standpoint of investors dealing in core currencies of South Asian Countries. We construct the portfolios in: Pakistani Rupee, Indian Rupee, Sri Lankan Rupee and Bangladeshi Taka by using three asset allocation strategies: Constrained portfolio, Long Only Portfolio and Equally Weighted portfolio. We employ modified conditional value at risk and standard deviation as a measure of risk to perform portfolio optimization across these asset allocation strategies. We use the Portfolio Analytics and Performance Analytics package of R language for Portfolio optimization and Statistical Analysis. The findings of the project are relevant for institutional and retail investors looking to earn high risk –adjusted returns in core South Asian countries. This study highlights the immense potential of the United State Dollar as an investment alternative and also adds evidence to the literature.
Keywords: United State Dollar, Modified Conditional Value at Risk, Sharp Ratio, Portfolio Diversification, Portfolio Optimization, Performance Evaluation, Risk Adjusted Return, South Asian Investor
Tools: R Language, Performance Analytics, Portfolio Optimization
Department: Department of Business Studies
Project Team Members
| Name |
Email |
|
Nabeel Ahmad
|
Nabeel.ahmad3004@gmail.com |
Project Poster
