Portfolio optimization

: does the optimization methodology have a significant impact on portfolio measures, in a context of elevated market volatility?

Abstract

This submitted master’s dissertation focuses on the practical application of resampling as a portfolio optimization methodology, in a context of elevated market volatility.In the process of constructing investment portfolios, the optimization methodology plays a cru-cial role, since it must output portfolios that are able to withstand unexpected unfavorable mar-ket conditions.In this context, portfolio resampling is a methodology that explicitly considers information un-certainty about assets, and outputs asset portfolios that are, according to the literature, more resilient to volatile environments. This dissertation explores and tries to assess the ex-post per-formance of hypothetical portfolios of the US and the EU stock markets, constructed using the resampling technique, during the initial stages of the COVID-19 pandemic, in the first semester of 2020. The findings indicate that in general, resampling strategy enhances portfolio perfor-mance and reduces the portfolio volatility.

Date of Award	18 Oct 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Pedro Prazeres (Supervisor)