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Portfolio Diversification on Market Downturns

Student: Aida Nalkombayeva

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2020

In this thesis, return data on the Russian stock and bond markets together with gold and Brent Oil prices over the period 2003 – 2020 were used to examine the time-varying correlations and benefits from cross-asset class diversification. As a result, the conclusion about the variability of time-varying correlations of assets returns is made. In particular, the study confirms the growth of average correlations between asset classes during market downturns. Optimal portfolios built on each of the time periods confirmed the hypothesis of inefficiency of diversification during crises.

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