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Alternative Investment in Fine Wine
Tisoň, Eduard ; Teplý, Petr (advisor) ; Smutná, Šarlota (referee)
The goal of this thesis is to examine diversification opportunities and relative investment performance of fine wine over several different periods. We found that fine wine indices have higher risk-adjusted returns than stocks in the most of ours periods and that cheaper fine wines performed substantially better than expensive ones. However, over the periods of financial crisis, fine wine had a strong correlation to major stock indices and lost a significant part of its value. Finally, since fine wine did not show any evidence of exposure to stock markets over the recent period, we concluded that fine wine can bring substantial diversification benefits, which we illustrated in the case of anti-cyclical and pro-cyclical portfolio.
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Alternative Investment in Fine Wine
Tisoň, Eduard ; Teplý, Petr (advisor) ; Smutná, Šarlota (referee)
The goal of this thesis is to examine diversification opportunities and relative investment performance of fine wine over several different periods. We found that fine wine indices have higher risk-adjusted returns than stocks in the most of ours periods and that cheaper fine wines performed substantially better than expensive ones. However, over the periods of financial crisis, fine wine had a strong correlation to major stock indices and lost a significant part of its value. Finally, since fine wine did not show any evidence of exposure to stock markets over the recent period, we concluded that fine wine can bring substantial diversification benefits, which we illustrated in the case of anti-cyclical and pro-cyclical portfolio.
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Art as a Financial Investment: Estimation of Art Returns and Portfolio Diversification
Konstantinova, Elizaveta ; Chytilová, Julie (advisor) ; Korbel, Václav (referee)
The thesis at hand examines risk, return and portfolio diversification oppor- tunities of the art market. In order to analyse price dynamics at the peculiar and unique art market scene and provide a reader with a basic understanding of the requirements for undertaking investment in this field several trends dominating in the art market abreast with the main art price determinants and risks are investigated. Based on the repeat sales data encompassing the period from 2000 to 2015, the art price indices have been estimated using both standard and three-stage weighted methods. Beyond a standard risk and return analysis of various art sectors compared with traditional invest- ment vehicles, this thesis also focuses on the performance of art with respect to the investment horizon. We conclude that longer holding period may be more beneficial than shorter one in terms of both return per unit of risk and costs per unit of time. However, in common with the literature in this area, the results suggest that the risk and return characteristics of art are inferior to the risk and return characteristics of financial assets and despite the low levels of correlation we have found no support for the inclusion of art in the mixed-asset portfolio. JEL Classification C13, C41, C61, D43, D44, G11, G14, Z11 Keywords art;...
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Essays in Financial Econometrics
Avdulaj, Krenar ; Baruník, Jozef (advisor) ; Di Matteo, Tiziana (referee) ; Kočenda, Evžen (referee) ; Witzany, Jiří (referee)
vi Abstract Proper understanding of the dependence between assets is a crucial ingredient for a number of portfolio and risk management tasks. While the research in this area has been lively for decades, the recent financial crisis of 2007-2008 reminded us that we might not understand the dependence properly. This crisis served as catalyst for boosting the demand for models capturing the dependence structures. Reminded by this urgent call, literature is responding by moving to nonlinear de- pendence models resembling the dependence structures observed in the data. In my dissertation, I contribute to this surge with three papers in financial econo- metrics, focusing on nonlinear dependence in financial time series from different perspectives. I propose a new empirical model which allows capturing and forecasting the conditional time-varying joint distribution of the oil - stocks pair accurately. Em- ploying a recently proposed conditional diversification benefits measure that con- siders higher-order moments and nonlinear dependence from tail events, I docu- ment decreasing benefits from diversification over the past ten years. The diver- sification benefits implied by my empirical model are, moreover, strongly varied over time. These findings have important implications for asset allocation, as the benefits of...
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