Optimized Portfolios: All Seasons Strategy

Raul Navas, Sonia R. Bentes and Helena V. G. Navas

A chapter in Quality Control - Intelligent Manufacturing, Robust Design and Charts from IntechOpen

Abstract: Our study explores the efficient frontier of optimal investment, taking behind the Markowitz's theory, while advocating a diversified portfolio to reduce risk. To perform it, six portfolio models are proposed, and its formation are made by a solver, where the selected solving method is the GRG Nonlinear engine for linear solver problems. Our main goal is to design portfolios that resists to financial crisis but at the same time persists in a wealthy period. We analyze the decade where we assisted to two crashes (2000-2010) and a semi-decade where we assist to a wealthy period (2011-2018). The assets used are varied, such as Equities indexes form various countries, sector equities, bonds, commodities, EURUSD exchange and VIX. Results show that the GRG Nonlinear engine is powerful, providing excess returns in all six models.

Keywords: MPT; Markowitz; portfolios' formation; sharp-ratio; volatility (search for similar items in EconPapers)
JEL-codes: L15 (search for similar items in EconPapers)
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.intechopen.com/chapters/74408 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ito:pchaps:219041

DOI: 10.5772/intechopen.95122

Access Statistics for this chapter

More chapters in Chapters from IntechOpen
Bibliographic data for series maintained by Slobodan Momcilovic ().