文章基本信息

标题：Risk, return and portfolio optimization for various industries in the ASEAN region
本地全文：下载
作者：Duc Hong Vo ; Thach Ngoc Pham ; Trung Thanh Vu Pham 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2019
卷号：19
期号：2
页码：1-7
DOI：10.1016/j.bir.2018.09.003
出版社：Elsevier B.V.
摘要：This paper examines risk, return and portfolio diversification at the industry level in four member countries of the ASEAN for which required data are available: Vietnam, Thailand, Malaysia, and Singapore. Market indices are examined for 10 industries from 2007 to 2016, comprising different economic periods, including 2007–2009 (crisis), 2010–2012 (post-crisis), and 2013–2016 (normal). Conditional value at risk is used to measure extreme risk. The Markowitz's risk-return framework is utilized to determine the optimal weight of industries in the portfolio. Findings suggest that, overall, the health-care industry should be given priority and importance as a sector with a dominant role in Vietnam, as this sector experiences the lowest extreme risk, earns the highest returns, and has become the second-largest contributor to the portfolio, which includes all sectors of the economy. Similar findings emerge for Singapore and Malaysia. However, in Thailand the industry in first place is consumer services.
关键词：ASEAN ; CVaR ; Portfolio optimization ; Returns ; Risks ; G11 ; G12 ; G15