Portfolio optimization : does the optimization methodology have a significant impact on portfolio measures, in a context of elevated market volatility?

• Autor(a) principal: Neves, Maria Beatriz de Santarém
• Data de Publicação: 2022
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/41477
• topic: Portfolio optimization; Resampling; Performance; Volatility; Otimização de carteiras; Reamostragem; Desempenho; Volatilidade; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This submitted master’s dissertation focuses on the practical application of resampling as a portfolio optimization methodology, in a context of elevated market volatility. In the process of constructing investment portfolios, the optimization methodology plays a crucial role, since it must output portfolios that are able to withstand unexpected unfavorable market conditions. In this context, portfolio resampling is a methodology that explicitly considers information uncertainty about assets, and outputs asset portfolios that are, according to the literature, more resilient to volatile environments. This dissertation explores and tries to assess the ex-post performance of hypothetical portfolios of the US and the EU stock markets, constructed using the resampling technique, during the initial stages of the COVID-19 pandemic, in the first semester of 2020. The findings indicate that in general, resampling strategy enhances portfolio performance and reduces the portfolio volatility.