Mean-variance and Safety-first Portfolio Selection Strategy for High-volume/Highvalue Traded Stocks in Philippine Stock Exchange (PSE)

This research evaluates the effectiveness of Mean-Variance (MV) and Safety-First (SF) portfolio selection strategies for high-volume/high-value traded stocks on the Philippine Stock Exchange (PSE). Analyzing data from 288 stocks over 7,670 trading days (30 years), we estimated stock returns, assigned probability weights, and conducted optimization models. The results show that the Mean-Variance (MV0.5) strategy achieved the best balance between risk and return, boasting the highest mean and cumulative returns with moderate volatility. The Safety-First (SF) strategy, however, yielded negative cumulative returns, indicating potential issues. The Market strategy had the lowest mean return but also the least risk, appealing to risk-averse investors. The Portfolio Mean-Variance (PMV) strategy provided a reasonable balance of returns and risk. Statistical analysis revealed that only the MV0.5 strategy outperformed market returns. These findings offer crucial insights into risk assessment and portfolio management for investors evaluating these strategies against market performance.

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Published
2024-12-15
DOI
https://doi.org/10.1109/ieem62345.2024.10857263
Primary Topic
Financial Markets and Investment Strategies
Type
article
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article

Mean-variance and Safety-first Portfolio Selection Strategy for High-volume/Highvalue Traded Stocks in Philippine Stock Exchange (PSE)

Tatyana Guzman, Y. T. Prasetyo, Satria Fadil Persada, R. Nadilfatin et al.
Financial Markets and Investment Strategies
article

Mean-variance and Safety-first Portfolio Selection Strategy for High-volume/Highvalue Traded Stocks in Philippine Stock Exchange (PSE)

Tatyana Guzman, Y. T. Prasetyo, Satria Fadil Persada, R. Nadilfatin, Millennia Young
article en

Abstract

This research evaluates the effectiveness of Mean-Variance (MV) and Safety-First (SF) portfolio selection strategies for high-volume/high-value traded stocks on the Philippine Stock Exchange (PSE). Analyzing data from 288 stocks over 7,670 trading days (30 years), we estimated stock returns, assigned probability weights, and conducted optimization models. The results show that the Mean-Variance (MV0.5) strategy achieved the best balance between risk and return, boasting the highest mean and cumulative returns with moderate volatility. The Safety-First (SF) strategy, however, yielded negative cumulative returns, indicating potential issues. The Market strategy had the lowest mean return but also the least risk, appealing to risk-averse investors. The Portfolio Mean-Variance (PMV) strategy provided a reasonable balance of returns and risk. Statistical analysis revealed that only the MV0.5 strategy outperformed market returns. These findings offer crucial insights into risk assessment and portfolio management for investors evaluating these strategies against market performance.

Mapúa University (PH), Binus University (ID), Sepuluh Nopember Institute of Technology (ID), Yuan Ze University (TW)
Openalex Percentile: Top 64%
Financial Markets and Investment Strategies
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