dc.contributor.author | Anda, Eli Aas | |
dc.date.accessioned | 2014-09-03T11:04:00Z | |
dc.date.available | 2014-09-03T11:04:00Z | |
dc.date.issued | 2014-06-16 | |
dc.identifier.uri | http://hdl.handle.net/11250/218674 | |
dc.description | Master's thesis in Finance | nb_NO |
dc.description.abstract | The paper analyzes whether there is an optimal maturity for bonds given a set stock/bond portfolio. Mean-variance optimization has been used to combine a portfolio consisting of a given asset allocation of stocks and a dynamic proportion in bonds that gives the highest estimated return for the lowest risk, by changing the maturity of the bonds. The paper uses data for the Norwegian All-share index, and short-term and long-term Norwegian government bonds. The data was divided into three parts; total: 1994-2013, period 1: 1994-2003, and period 2: 2004-2013. The optimal portfolio weights differ from each period, but with similar trend, the portfolio consisted of the obligatory All-Share index and a combination between 3-month, 3-year and 5-year government bonds. Generally, the higher the weight proportion on the risky asset, the portfolio will be better off investing the remaining allocation on long-term government bonds. This was the case for all periods where the risky assets (stocks) had the portfolio majority. For portfolios with a lower risk proportion, it was more unclear, as they are very sensitive to changes in correlation amongst stocks and bonds. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | University of Stavanger, Norway | nb_NO |
dc.relation.ispartofseries | Masteroppgave/UIS-SV-HH/2014; | |
dc.rights | Attribution 3.0 Norway | * |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/no/ | * |
dc.subject | økonomi | nb_NO |
dc.subject | administrasjon | nb_NO |
dc.subject | anvendt finans | nb_NO |
dc.title | What is the optimal maturity for bonds in a given risk/non-risk portfolio? | nb_NO |
dc.type | Master thesis | nb_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210::Economics: 212 | nb_NO |