Does diversification still work? Portfolio risk before and after market crises (stocks–bonds–gold)
Makhanov, Alisher (A.A. 2025/2026) Does diversification still work? Portfolio risk before and after market crises (stocks–bonds–gold). Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 69. [Bachelor's Degree Thesis]
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Abstract/Index
Literature review. Stock-bond diversification as a conventional portfolio logic. Regime-dependent stock-bond correlation. The euro-area context and the post-2021 diversification problem. Gold’s hedge and safe haven properties. Time-varying dependence and the portfolio-risk perspective. Data and variables. Data sources and asset proxies. Sample period and empirical scope. Data treatment and return construction. Regime classification. Preliminary descriptive statistics. Preliminary correlation evidence. Methodology. Analytical strategy and chapter logic. Static dependence by regime. Rolling correlations and the motivation for dynamic modelling. DCC-GARCH as the main dynamic dependence framework. Portfolio construction and portfolio-risk evaluation. Hedge and safe-haven evaluation for bonds and gold. Linking methods to hypotheses. Scope limitations of the empirical methodology. Empirical results. Regime-specific static correlations. DCC-GARCH conditional correlation results. Portfolio risk and performance results. Hedge and safe-haven results for bonds and gold. Interpretation of stock-bond diversification results. Interpretation of gold as a hedge and safe haven. Portfolio-risk implications. Relation to the ECB post-2021 diversification problem.
References
Bibliografia: pp. 68-69.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2025/2026 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 15 Oct 2026 08:50 |
| Last Modified: | 15 Oct 2026 08:50 |
| URI: | https://tesi.luiss.it/id/eprint/46854 |
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