This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk. / El presente trabajo estima la frontera eficiente, en portafolios de inversión diversificados en acciones que componen el Índice General de la Bolsa de Valores de Lima (IGBVL), acciones que componen el Dow Jones Industrial Average (DJIA), oro, cobre, instrumentos de renta fija del Gobierno peruano e instrumentos de ahorro bancario. Se concluye que el riesgo de portafolios de inversión de acciones que componen el IGVBL disminuye como consecuencia de la diversificación; un activo relevante es el oro que contribuye a disminuir significativamente el riesgo del portafolio.

Abstract:   The last decade currency carry trade has gained a lot of popularity because of their apparent profitability. It is a strategy that has been developed to exploit violations of the Uncovered Interest Rate Parity. In particular, an investor must take a short position in a low-yielding currency to fund a long position in a high-yielding currency. In this research, we tried to contribute in the previous literature for the currency carry trade and its characteristics by using a different approach. Most of the researches that have been conducted in this area concern the risk agents associated with this strategy. However, in our research we investigated the relationship between currency carry trade and two equity indexes, one from the European market (DAX) and one from the American (DJIA). In order to do that, we estimated the returns of the DAX and the Dow Jones Industrial Average (DJIA) as well as the returns of a carry trade index created by the Deutsche Bank, the Deutsche Bank’s G10 Currency Future Harvest index. The returns were estimated for a time period of twenty years (1995-2014). More specific, we examined whether there is granger causality between the returns of carry trade and of DAX/DJIA, whether there is leverage effect on the returns of the same index and finally whether changes in the returns of one of those indexes can affect the subsequent volatility of the other two. For being able to do this examination, we used two different statistical models, the Vector Autoregression (VAR) and the EGARCH [1, 1] model.       The first empirical finding suggests that there is granger causal effect from the two equity markets to carry trade, however the carry trade granger cause only to DJIA index. The second finding indicates that there no leverage effect form the past returns to the future volatility for all the three indexes. Finally, the last finding suggests that the volatility process on the returns of one index cannot be determined by changes in the returns of the other two indexes. Keywords: Currency carry, uncovered interest rate parity, DAX, DJIA, G10 currency, granger causality, VAR, EGARCH[1,1]

The diploma thesis deals with the impacts of financial crises, especially into the U.S. and European stock exchange market and the real economy. Contains the analysis of the Great Depression and the current economic downturn which follows the financial crisis of 2007 - 2008 from the perspective of the New York Stock Exchange index (DJIA) and the FTSE index of London Stock Exchange, as well as from the perspective of macroeconomic variables such as real GDP growth, the rate of unemployment and the industrial production index. The similarities and the specific features of the causes of their formation, the reactions of the monetary and legislative authorities, the impact on the stock exchange markets, regulatory implications and impact on the real economy are mentioned as a result of the detailed comparison of the two crises. The thesis includes prove to the hypothesis of higher volatility on the stock exchange markets during the crises periods on the daily data by calculating the variance and standard deviation.

This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. The purpose is to find out if the investment strategy has had a higher return than the benchmark index DJIA. The results show that the investment strategy outperforms the DJIA by 111% between the years 2000 to 2020, however, the results show no statistical significance. Beta is used as risk measurement to explain the correlation between the portfolios and the benchmark index by calculating CAPM. Standard deviation is used to calculate the Sharpe ratio and thereby assess a risk-adjusted result.

Problem When choosing topic for this study the economy was on the brink of a recession. Many experts made varying statements regarding this fact, and further readings in this area led us to question: can an in- clusion of gold enhance the performance in an index portfolio dur- ing recessions? And if so, how much should be allocated to gold? Purpose The purpose of this thesis is to look back at the historical price de- velopment of gold and DJIA during recessions in order to find out whether an inclusion of gold can improve a DJIA index portfolio held in today’s recession. In addition, by analyzing the risks and pos- sibilities with gold, the optimal allocation of gold in a DJIA portfolio will be investigated in.   Method The methodological approach will be of a quantitative data analysis approach. By using historical data, new empirical findings will be found by using the deductive approach. This method has been cho- sen due to the nature of the purpose and in order to best give a gen- eral answer to our research questions. Conclusion The gold price is strongly influenced by uncertainty, and even though an optimal allocation of gold in each recession could be found, no general optimal allocation applicable in today’s recession could be found. Gold has higher risk (higher variance) than DJIA, but is compensated with higher return as well.

<p><strong>Problem</strong></p><p>When choosing topic for this study the economy was on the brink of a recession. Many experts made varying statements regarding this fact, and further readings in this area led us to question: can an in- clusion of gold enhance the performance in an index portfolio dur- ing recessions? And if so, how much should be allocated to gold?</p><p><strong>Purpose</strong></p><p>The purpose of this thesis is to look back at the historical price de- velopment of gold and DJIA during recessions in order to find out whether an inclusion of gold can improve a DJIA index portfolio held in today’s recession. In addition, by analyzing the risks and pos- sibilities with gold, the optimal allocation of gold in a DJIA portfolio will be investigated in.</p><p> </p><p><strong>Method</strong></p><p>The methodological approach will be of a quantitative data analysis approach. By using historical data, new empirical findings will be found by using the deductive approach. This method has been cho- sen due to the nature of the purpose and in order to best give a gen- eral answer to our research questions.</p><p><strong>Conclusion</strong></p><p>The gold price is strongly influenced by uncertainty, and even though an optimal allocation of gold in each recession could be found, no general optimal allocation applicable in today’s recession could be found. Gold has higher risk (higher variance) than DJIA, but is compensated with higher return as well.</p>

This thesis investigates the impact of the fundamental news announcements on the movements of the stock indexes SAX, SaP500 and DJIA. The theoretical part of the thesis describe the basic structure and properties of these indexes. There are also presented theoretical and empirically validated relationships between different fundamental news and the indexes. These relationships are described based on the theory of efficient markets, technical, fundamental and psychological analysis. The practical part of the thesis analyze the impact of fundamental news (5 types - index SAX and 6 types- SaP500 and DJIA) 2005-2015. There is analyzed the impact of news announcements on the day of the notice and the day after the announcement. The result is there exist significant relationship between "surprise" value of inflation and interest rates news and indexes SaP500 and DJIA.