The Financial Crisis Impact on the Composition of an Optimal Portfolio in the Stock Market - Study Applied to Portuguese Index PSI 20

Detalhes bibliográficos
Autor(a) principal: Pinho, Carlos Santos
Data de Publicação: 2018
Outros Autores: Melo, Augusto
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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spelling 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
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