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Portfolio Diversification Enigma
內容大綱
In early January 2013, a product manager with one of the leading insurance companies in Delhi, India, sat in his home office and pondered the strategy he had followed for his personal investment portfolio over the last three years. He was worried that talk of tapering off the U.S. Federal Reserve’s Quantitative Easing Program, undertaken in the aftermath of the 2008 global financial crisis, and the Indian general elections in May 2014 might affect the value of his investments. In order to achieve higher risk-adjusted returns, he was considering diversifying his all-equity portfolio by adding gold. Before he went ahead, he needed to test the data by using past returns, standard deviations and correlations and then use the Sharpe Ratio to compare the risk-adjusted returns of the diversified portfolio (comprising gold and equity) vis-à-vis an all-equity portfolio.
學習目標
This case can be used in a course on portfolio management in an undergraduate or MBA program to achieve the following objectives:<br><br><ul><li>To introduce students to the concept of portfolio risk and return.</li><li>To examine the significance of portfolio diversification.</li><li>To understand and illustrate the use of the Sharpe Ratio.</li><li>To understand and quantify how asset allocation or diversification affects portfolio risk and return.</li></ul>