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

  • Maria Beatriz de Santarém Neves (Student)

Student thesis: Master's Thesis


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 Award18 Oct 2022
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorPedro Prazeres (Supervisor)


  • Portfolio optimization
  • Resampling
  • Performance
  • Volatility


  • Mestrado em Finanças

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