| Título |
COVID-19 impact on the Spanish stock exchange with mean-variance and diversification-based portfolios |
| Autores |
Martinez-Nieto, Luisa , FERNÁNDEZ NAVARRO, FRANCISCO DE ASÍS, MONTERO ROMERO, Mª TERESA, CARBONERO RUZ, MARIANO |
| Publicación externa |
No |
| Medio |
Appl. Econ. Lett. |
| Alcance |
Article |
| Naturaleza |
Científica |
| Cuartil JCR |
4 |
| Cuartil SJR |
3 |
| Impacto JCR |
1.28700 |
| Impacto SJR |
0.40000 |
| Web |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85118236409&doi=10.1080%2f13504851.2021.1990203&partnerID=40&md5=050361299a05dea13f4efd9eb15dc457 |
| Fecha de publicacion |
26/10/2021 |
| ISI |
000711766600001 |
| Scopus Id |
2-s2.0-85118236409 |
| DOI |
10.1080/13504851.2021.1990203 |
| Abstract |
This paper examines the out-of-sample performance of thirteen portfolio strategies in the Spanish financial market (Ibex 35) during the COVID-19 pandemic (considering four different periods) by using three standard financial metrics. The main findings of the study are as follows: (i) the only methods outperforming Ibex 35 are those based on risk parity or diversification; (ii) unstable period data caused underperformance of strategies that require a previous estimation of certain hyper-parameters in their formulations. |
| Palabras clave |
COVID-19; Spanish stock exchange; Ibex 35; mean-variance portfolios; diversified strategies; out-sample performance |
| Miembros de la Universidad Loyola |
|
Gestionar cookies