| Abstract [eng] |
The aim of this thesis is to construct a universal investment allocation model with integrated macroeconomic indicators (GDP and inflation expectations) for investment horizon analysis. Markowitz mean-variance and risk parity methods are applied in tandem with the investment allocation model to build an investment portfolio. With these portfolios regular patterns can be spotted over different investment horizons (1 to 10 years). Model analysis uses US, German, Japanese, UK, Canadian stock market data along with USD, JPY, GBP, and CAD exchange rates against EUR. This study concludes that in the long-term, regarding risk parity, it is better to have a more diversified portfolio as opposed to having a portfolio that seeks returns rather than diversification, as in short-term. |
