• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Formation of an Institutional Investment Portfolio Using Traditional and Alternative Asset Classes

Student: Petrov Nikita

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Final Grade: 7

Year of Graduation: 2019

This paper investigated the practice of portfolio construction with traditional and alternative investments by Institutional Investors. The aim of the work is 1) to analyze the practice of institutional portfolio formation, 2) to construct an optimal portfolio using Modern Portfolio Theory and 3) to compare the portfolio with benchmark. In this paper included: current portfolio allocations of Institutional Investors and trends in rebalance; description of asset classes (traditional and alternative); and results of construction Optimal Portfolio. The results of the back-test show that Optimal Portfolio are outperform the benchmark.

Full text (added May 27, 2019)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses