{"title":"Comparative Analysis of Mean-Variance and Safety-First Portfolio Utilizing Exchange Traded Funds in Asia","authors":"M. Young, T. T. N. Chuahay, J. Diaz","doi":"10.1109/ICIEA49774.2020.9102041","DOIUrl":null,"url":null,"abstract":"This paper presents a comparative analysis of mean-variance and safety-first portfolios exploiting exchange traded funds in ASIA. Different portfolio weight thresholds (risk-return trade-off parameters) for safety-first (mean-variance) model are used in order to consider all type of investors. Back-test result shows that Both safety-first and mean-variance portfolios of exchange traded funds can outperform the benchmark. It was also observed that most safety-first investors and risk-seeking mean-variance investors can significantly outperform the benchmark. Overall, this study offers alternative investment frameworks that can probably be considered as a generic investment procedure for any investor.","PeriodicalId":306461,"journal":{"name":"2020 IEEE 7th International Conference on Industrial Engineering and Applications (ICIEA)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2020 IEEE 7th International Conference on Industrial Engineering and Applications (ICIEA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICIEA49774.2020.9102041","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 9
Abstract
This paper presents a comparative analysis of mean-variance and safety-first portfolios exploiting exchange traded funds in ASIA. Different portfolio weight thresholds (risk-return trade-off parameters) for safety-first (mean-variance) model are used in order to consider all type of investors. Back-test result shows that Both safety-first and mean-variance portfolios of exchange traded funds can outperform the benchmark. It was also observed that most safety-first investors and risk-seeking mean-variance investors can significantly outperform the benchmark. Overall, this study offers alternative investment frameworks that can probably be considered as a generic investment procedure for any investor.
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