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.
Authors
- Tatyana Guzman (ORCID: https://orcid.org/0000-0003-0764-3896)
- Y. T. Prasetyo
- Satria Fadil Persada (ORCID: https://orcid.org/0000-0002-8141-1957)
- R. Nadilfatin
- Millennia Young
Institutions
- Mapúa University (PH)
- Binus University (ID)
- Sepuluh Nopember Institute of Technology (ID)
- Yuan Ze University (TW)
Publication Details
- Published
- 2024-12-15
- DOI
- https://doi.org/10.1109/ieem62345.2024.10857263
- Primary Topic
- Financial Markets and Investment Strategies
- Type
- article
- Field-Weighted Citation Impact
- 0.00