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| author | Luis Alberto Baca |
| title | Managing Risk: The Portfolio Benefits to International Diversification |
| abstract |
This thesis looks at some of the different ways risk is measured in the financial markets and traces the evolution of the autoregressive conditional heteroskedasticity
(ARCH) class of models. In addition, this thesis proposes a new way to manage risk using international diversification by comparing the risk characteristics of United
States headquartered companies based on whether they earn the majority of their revenue domestically or internationally and indices that track both the United States
market and global markets. Furthermore, these risk characteristics are studied over three different periods--the pre-financial crisis period, financial crisis period,
and post-financial crisis period, which gives the added benefit of studying how risk changes during times of extreme market stress. Ultimately, the companies that
generated significant revenue from overseas performed better on the majority of the measures analyzed, especially during the financial crisis.
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| school | The College of Liberal Arts, Drew University |
| degree | B.A. (2016) |
| advisor | Marc Tomljanovich
|
| committee | Giandomenico Sarolli
Emily Hill
Deborah Hess
|
| full text | LABaca.pdf |
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