Change search
ReferencesLink to record
Permanent link

Direct link
Should you optimize your portfolio?: On portfolio optimization: The optimized strategy versus the naïve and market strategy on the Swedish stock market
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2014 (English)Independent thesis Basic level (degree of Bachelor), 180 HE creditsStudent thesis
Abstract [en]

In this paper, I evaluate the out-of-sample performance of the portfolio optimizer relative to the naïve and market strategy on the Swedish stock market from January 1998 to December 2012. Recent studies suggest that simpler strategies, such as the naïve strategy, outperforms optimized strategies and that they should be implemented in the absence of better estimation models. Of the 12 strategies I evaluate, 11 of them significantly outperform both benchmark strategies in terms of Sharpe ratio. I find that the no-short-sales constrained minimum-variance strategy is preferred over the mean-variance strategy, and that the historical sample estimator creates better minimum-variance portfolios than the single-factor model and the three-factor model. My results suggest that there are considerable gains to optimization in terms of risk reduction and return in the context of portfolio selection.

Place, publisher, year, edition, pages
2014. , 32 p.
Keyword [en]
optimization, portfolio selection, portfolio strategy, estimation models, Sharpe ratio
National Category
Business Administration
URN: urn:nbn:se:uu:diva-218024OAI: diva2:694576
Subject / course
Business Studies
Educational program
Ekonomie kandidatprogrammet
Available from: 2014-02-07 Created: 2014-02-06 Last updated: 2014-02-07Bibliographically approved

Open Access in DiVA

fulltext(518 kB)787 downloads
File information
File name FULLTEXT01.pdfFile size 518 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Department of Business Studies
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 787 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 578 hits
ReferencesLink to record
Permanent link

Direct link