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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 20
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Stock Markets; Portfolio; Risk; Profitability; Financial Crisis.