An optimal portfolio mix for stable and turbulent times: A study on selected Philippine assets using modified Markowitz mean-variance model for the years 2001-2010
Date of Publication
2012
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Joseph Vincent David
Defense Panel Chair
Robert Dan Roces
Defense Panel Member
John Paolo Rivera
Jose Mari B. Lacson
Abstract/Summary
The study in 1953, Harry Markowitz introduced the mean-variance optimization model. This study addresses the problems of the original model by segmenting the data and introducing different risk regimes. The study adopted a modified Markowitz model that was introduced by Chow, et al. Multivariate outliers were identified in order to segment the data into stable and turbulent regimes. The researchers used six asset classes for a period of ten years. These asset classes were thus used to estimate a portfolio from the full sample returns in order to give the optimal portfolio for stable periods and also to estimate a portfolio from the outlier-sample returns to give the optimal portfolio for turbulent periods. Furthermore, the researchers blend the portfolio estimated from the full-sample with the portfolio estimated from the outlier-sample in order to minimize the trade-off between return and risk while incorporating the probability of occurrence for each period as well as the investor's risk aversion. In all of the portfolios, it was observed that majority of the assets consisted mostly of foreign exchange. Thus, a BSP constraint was applied to foreign exchange to further diversify the assets and make the portfolio more realistic.
Abstract Format
html
Language
English
Format
Accession Number
TU21594
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
96 leaves : illustrations (some color) ; 28 cm.
Keywords
Portfolio management--Philippines
Recommended Citation
Apolonio, D. T., Serrano, J. D., & Uy, S. Y. (2012). An optimal portfolio mix for stable and turbulent times: A study on selected Philippine assets using modified Markowitz mean-variance model for the years 2001-2010. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/9690