COVID-19 impact on the Spanish stock exchange with mean-variance and diversification-based portfolios

被引:0
作者
Martinez-Nieto, Luisa [1 ]
Fernandez-Navarro, Francisco [2 ]
Montero-Romero, Teresa [1 ]
Carbonero-Ruz, Mariano [2 ]
机构
[1] Univ Loyola Andalucia, Dept Financial Econ & Accounting, Seville, Spain
[2] Univ Loyola Andalucia, Dept Quantitat Methods, Seville, Spain
关键词
COVID-19; Spanish stock exchange; Ibex; 35; mean-variance portfolios; diversified strategies; out-sample performance; OPTIMIZATION; DIVERSITY;
D O I
10.1080/13504851.2021.1990203
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper examines the out-of-sample performance of thirteen portfolio strategies in the Spanish financial market (Ibex 35) during the COVID-19 pandemic (considering four different periods) by using three standard financial metrics. The main findings of the study are as follows: (i) the only methods outperforming Ibex 35 are those based on risk parity or diversification; (ii) unstable period data caused underperformance of strategies that require a previous estimation of certain hyper-parameters in their formulations.
引用
收藏
页码:416 / 422
页数:7
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