This thesis will focus on the creation of a portfolio. The first part of this paper describes how to get the efficient frontier of a portfolio. The thesis explains things such as the diversification and international diversification of the portfolio. It also explains how the investor can use it for his profit. In the second part of this paper, these methods are tested and evaluated in the condition of today's globalized world.

Submitted by Joana Vieira (joana_cvieira@hotmail.com) on 2015-10-13T12:58:25Z No. of bitstreams: 1 FINAL REPORT JOANA VEIRA FGV.pdf: 3927213 bytes, checksum: a8f998809220a76b7f10b84fa630e2b0 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Joana, o numero das paginas deve contar a partir da capa, está certo mas só deve aparecer o numero a partir da introdução. fico a disposição. Ana Luiza Holme 3799-3492 on 2015-10-13T16:24:51Z (GMT) / Submitted by Joana Vieira (joana_cvieira@hotmail.com) on 2015-10-13T17:42:24Z No. of bitstreams: 1 FINAL REPORT JOANA VEIRA FGV.pdf: 3951971 bytes, checksum: 667456b57a07dda99ac9aeb852a0c8ee (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-10-13T17:44:14Z (GMT) No. of bitstreams: 1 FINAL REPORT JOANA VEIRA FGV.pdf: 3951971 bytes, checksum: 667456b57a07dda99ac9aeb852a0c8ee (MD5) / Made available in DSpace on 2015-10-13T17:49:57Z (GMT). No. of bitstreams: 1 FINAL REPORT JOANA VEIRA FGV.pdf: 3951971 bytes, checksum: 667456b57a07dda99ac9aeb852a0c8ee (MD5) Previous issue date: 2015-09-25 / Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.

Magister Commercii - MCom / Diversification is one of the more familiar concepts in finance because of its ability to curtail risk towards investors. However, for diversification to be efficient, the assets combined should have inversely related price movements. In the same light, previous research done on international portfolio diversification has consistently found that having investments diversified across different global markets that have low to medium correlations helps to get as close to an optimal portfolio as possible. However, previous research also indicates that both global financial integration and exogenous shocks increase correlations among international markets, hence negating the benefits of international portfolio diversification to an extent. Therefore, with global integration on the rise, coupled with economic and political instability in some BRICS nations, the research examines these factors and gauges the current viability of international portfolio diversification from the perspective of a South African investor.