International diversification and risk in investment portfolio

• Autores: Chura Palacios, Luz, Ajrota Feliciano, Angela
• Formato: artículo
• Fecha de Publicación: 2020
• Institución: Universidad Nacional Jorge Basadre Grohmann
• Repositorio: Revistas - Universidad Nacional Jorge Basadre Grohmann
• Lenguaje: español
• OAI Identifier: oai:revistas.unjbg.edu.pe:article/899
• Enlace del recurso: https://revistas.unjbg.edu.pe/index.php/eyn/article/view/899
• Nivel de acceso: acceso abierto
• Materia: Cartera de inversión; diversificación internacional; frontera eficiente; rendimiento; riesgo; investment portfolio; international diversification; efficient frontier; performance; risk

To demonstrate the effect of International Diversification on the risk of Investment Portfolio and has as secondary objectives: obtaining an efficient frontier for the analysis and comparison of investment options in various international markets. The present work is a type of non-experimental, quantitative cross-sectional, descriptive and explanatory research that is based on the quantification of indicators of financial assets listed on the Stock Exchange of Chile, Brazil, the United States, Switzerland, Spain, Hungary, India and Japan in the period between 2011-2019 for the formation of investment portfolios. For the purposes of the present research, 40 shares listed on the Stock Exchange of Chile, Brazil, the United States, Switzerland, Spain, Hungary, India and Japan were taken as reference universe. However, after a debugging process based on the levels of correlation between assets, there were 24 actions, organized into 3 assets per market, for the development of the present investigation. Subsequently, the profitability and variance was obtained by applying portfolio optimization analysis and in this way the eight efficient borders for the eight international markets were obtained. In the formation of investment portfolios, the theory of international diversification was applied, for which the levels of adjusted profitability were compared with the risk of portfolios. The results obtained allowed us to identify that diversification between countries represents a significant alternative to maximize profitability. In addition, it represents a significant alternative for reducing the risk of investment portfolios. Through a country approach, diversification alternatives exist due to the low level of correlation.