Innocents Abroad: Currencies and International Stock Returns Critique

Alvaro Fernandez

Yizhen Liu

Daniel Mejia

Yitian Xue

Agenda

Benefits of International Asset Allocation

Correlation between different markets using returns data

Portfolio standard deviation

Efficient frontier and our recommendation

Benefits of International Asset Allocation

Greater diversification.

Correlations between the different markets using returns data (Problem 4b)

Correlations between the different markets using returns data – Cont.

Portfolio Standard Deviation (Problem 4d)

Portfolio Standard Deviation (Problem 4d)

Efficient Frontier

Minimum Variance Portfolio

Recommendation

Reasoning Behind the Recommendation

International asset allocation--- Diversification

Portfolio risk management and optimization