The effects of covid-19 and the war in Ukraine on portfolio composition
(2023) NEKH01 20231Department of Economics
- Abstract
- This paper examines the effect of the covid-19 pandemic as well as the Russia-Ukraine wars’ implications on 6 larger stock markets in Europe and North America using the Markowitz mean-variance theorem to test for changes in the minimum variance portfolios, efficient frontiers and portfolio composition. I could draw several conclusions from governments responses during both crises. Both shocks led to similar significant shifts in the minimum-variance portfolios composition and performance. I found reduced return and as anticipated increases in risk across all tested minimum variance portfolios following the Covid-19 pandemic. The Russian-Ukrainian war had smaller implications in portfolio composition but led to reduced return and increased... (More)
- This paper examines the effect of the covid-19 pandemic as well as the Russia-Ukraine wars’ implications on 6 larger stock markets in Europe and North America using the Markowitz mean-variance theorem to test for changes in the minimum variance portfolios, efficient frontiers and portfolio composition. I could draw several conclusions from governments responses during both crises. Both shocks led to similar significant shifts in the minimum-variance portfolios composition and performance. I found reduced return and as anticipated increases in risk across all tested minimum variance portfolios following the Covid-19 pandemic. The Russian-Ukrainian war had smaller implications in portfolio composition but led to reduced return and increased risk compared to both first periods. Constantly held portfolios derived from efficient frontiers during the first tested period provided much worse performances in the following shocks, while constant holdings of optimized portfolios based on all data until before the war performed somewhat equal to each country’s efficient frontier. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9129048
@misc{9129048,
abstract = {{This paper examines the effect of the covid-19 pandemic as well as the Russia-Ukraine wars’ implications on 6 larger stock markets in Europe and North America using the Markowitz mean-variance theorem to test for changes in the minimum variance portfolios, efficient frontiers and portfolio composition. I could draw several conclusions from governments responses during both crises. Both shocks led to similar significant shifts in the minimum-variance portfolios composition and performance. I found reduced return and as anticipated increases in risk across all tested minimum variance portfolios following the Covid-19 pandemic. The Russian-Ukrainian war had smaller implications in portfolio composition but led to reduced return and increased risk compared to both first periods. Constantly held portfolios derived from efficient frontiers during the first tested period provided much worse performances in the following shocks, while constant holdings of optimized portfolios based on all data until before the war performed somewhat equal to each country’s efficient frontier.}},
author = {{Linnala, Arvid}},
language = {{eng}},
note = {{Student Paper}},
title = {{The effects of covid-19 and the war in Ukraine on portfolio composition}},
year = {{2023}},
}