The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/29279 |
Resumo: | In order to maximize their utility function, investors select some assets over others, choosing the portfolio that will allow them to maximize their wealth. Each asset is chosen considering the relationship between the risk of that particular investment (usually measured by variance) - and the profitability it can offer, as well as the risk between this and other assets (measured by covariance). The purpose of this study consisted of constructing the minimum variance portfolio, using data from the PSI-20 (2008-2016) representative asset quotation, where investors are risk reluctant and wish to minimize risk while maintaining the same level of profitability, or on the other hand, maintaining the same level of risk but maximizing expected profit. In order to do this, a comparison of the optimal portfolio in 2004-2017 was carried out, compared to the minimum variance portfolio after the financial crisis (2008-2016). The method used to estimate each asset’s expected profitability that makes up the PSI-20 consists of extracting the obtained historical quotations. The optimal portfolio composition, in the period after the financial crisis, shows that the energy sector has an optimal portfolio weight reduction of 39.15%, that the big distribution sector (23.85%) was introduced into the portfolio and by last, the industrial sector stands its ground in the composition of the optimal portfolio. |
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The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20Stock Markets; Portfolio; Risk; Profitability; Financial Crisis.In order to maximize their utility function, investors select some assets over others, choosing the portfolio that will allow them to maximize their wealth. Each asset is chosen considering the relationship between the risk of that particular investment (usually measured by variance) - and the profitability it can offer, as well as the risk between this and other assets (measured by covariance). The purpose of this study consisted of constructing the minimum variance portfolio, using data from the PSI-20 (2008-2016) representative asset quotation, where investors are risk reluctant and wish to minimize risk while maintaining the same level of profitability, or on the other hand, maintaining the same level of risk but maximizing expected profit. In order to do this, a comparison of the optimal portfolio in 2004-2017 was carried out, compared to the minimum variance portfolio after the financial crisis (2008-2016). The method used to estimate each asset’s expected profitability that makes up the PSI-20 consists of extracting the obtained historical quotations. The optimal portfolio composition, in the period after the financial crisis, shows that the energy sector has an optimal portfolio weight reduction of 39.15%, that the big distribution sector (23.85%) was introduced into the portfolio and by last, the industrial sector stands its ground in the composition of the optimal portfolio.Repositório da Universidade de LisboaPinho, Carlos SantosMelo, Augusto2023-11-02T14:40:15Z20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/29279enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-05T01:31:53Zoai:www.repository.utl.pt:10400.5/29279Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T21:26:47.522489Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 |
title |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 |
spellingShingle |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 Pinho, Carlos Santos Stock Markets; Portfolio; Risk; Profitability; Financial Crisis. |
title_short |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 |
title_full |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 |
title_fullStr |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 |
title_full_unstemmed |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 |
title_sort |
The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20 |
author |
Pinho, Carlos Santos |
author_facet |
Pinho, Carlos Santos Melo, Augusto |
author_role |
author |
author2 |
Melo, Augusto |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Pinho, Carlos Santos Melo, Augusto |
dc.subject.por.fl_str_mv |
Stock Markets; Portfolio; Risk; Profitability; Financial Crisis. |
topic |
Stock Markets; Portfolio; Risk; Profitability; Financial Crisis. |
description |
In order to maximize their utility function, investors select some assets over others, choosing the portfolio that will allow them to maximize their wealth. Each asset is chosen considering the relationship between the risk of that particular investment (usually measured by variance) - and the profitability it can offer, as well as the risk between this and other assets (measured by covariance). The purpose of this study consisted of constructing the minimum variance portfolio, using data from the PSI-20 (2008-2016) representative asset quotation, where investors are risk reluctant and wish to minimize risk while maintaining the same level of profitability, or on the other hand, maintaining the same level of risk but maximizing expected profit. In order to do this, a comparison of the optimal portfolio in 2004-2017 was carried out, compared to the minimum variance portfolio after the financial crisis (2008-2016). The method used to estimate each asset’s expected profitability that makes up the PSI-20 consists of extracting the obtained historical quotations. The optimal portfolio composition, in the period after the financial crisis, shows that the energy sector has an optimal portfolio weight reduction of 39.15%, that the big distribution sector (23.85%) was introduced into the portfolio and by last, the industrial sector stands its ground in the composition of the optimal portfolio. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018 2018-01-01T00:00:00Z 2023-11-02T14:40:15Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/29279 |
url |
http://hdl.handle.net/10400.5/29279 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134149417631744 |