Advanced

Risk-Based Portfolio Allocation Strategies with a Focus on Sustainable Stocks in Sweden

Muñoz Ruiz, Pilar LU and Meyer, Frieda-Lotti Pauline LU (2018) NEKN02 20181
Department of Economics
Abstract
This paper aims at analyzing the performance of six portfolio weight allocation strategies. The traditional Market Capitalization (CW), the Equal Weight (EW) and the Inverse Volatility Weighting (IVW) are heuristic based techniques and the Minimum Variance (MV), Maximum Diversification (MD) and Risk Efficient Weighting (REW) are risk-based. They are applied to a sample of Swedish stocks for an evaluation period ranging from 2004 to 2016. In addition, the same strategies are analyzed when applied to a subsample of sustainable firms.
The Market Capitalization performs the worst. When applied to a broad universe, the risk-based strategies outperform the heuristic based. For the sustainable universe, the heuristic techniques deliver superior... (More)
This paper aims at analyzing the performance of six portfolio weight allocation strategies. The traditional Market Capitalization (CW), the Equal Weight (EW) and the Inverse Volatility Weighting (IVW) are heuristic based techniques and the Minimum Variance (MV), Maximum Diversification (MD) and Risk Efficient Weighting (REW) are risk-based. They are applied to a sample of Swedish stocks for an evaluation period ranging from 2004 to 2016. In addition, the same strategies are analyzed when applied to a subsample of sustainable firms.
The Market Capitalization performs the worst. When applied to a broad universe, the risk-based strategies outperform the heuristic based. For the sustainable universe, the heuristic techniques deliver superior performance than the risk-based. From the risk-based strategies, the Maximum Diversification benefits from its application to the sustainable universe. The Equal Weight strategy experiences the largest performance improvement. (Less)
Please use this url to cite or link to this publication:
author
Muñoz Ruiz, Pilar LU and Meyer, Frieda-Lotti Pauline LU
supervisor
organization
course
NEKN02 20181
year
type
H1 - Master's Degree (One Year)
subject
keywords
Risk Adjusted Performance, Risk-Based Portfolio Allocation Strategies, Sustainable Stocks, Variance Covariance Matrix
language
English
id
8945507
date added to LUP
2018-07-02 15:39:34
date last changed
2018-07-02 15:39:34
@misc{8945507,
  abstract     = {This paper aims at analyzing the performance of six portfolio weight allocation strategies. The traditional Market Capitalization (CW), the Equal Weight (EW) and the Inverse Volatility Weighting (IVW) are heuristic based techniques and the Minimum Variance (MV), Maximum Diversification (MD) and Risk Efficient Weighting (REW) are risk-based. They are applied to a sample of Swedish stocks for an evaluation period ranging from 2004 to 2016. In addition, the same strategies are analyzed when applied to a subsample of sustainable firms.
The Market Capitalization performs the worst. When applied to a broad universe, the risk-based strategies outperform the heuristic based. For the sustainable universe, the heuristic techniques deliver superior performance than the risk-based. From the risk-based strategies, the Maximum Diversification benefits from its application to the sustainable universe. The Equal Weight strategy experiences the largest performance improvement.},
  author       = {Muñoz Ruiz, Pilar and Meyer, Frieda-Lotti Pauline},
  keyword      = {Risk Adjusted Performance,Risk-Based Portfolio Allocation Strategies,Sustainable Stocks,Variance Covariance Matrix},
  language     = {eng},
  note         = {Student Paper},
  title        = {Risk-Based Portfolio Allocation Strategies with a Focus on Sustainable Stocks in Sweden},
  year         = {2018},
}