| Issue |
ITM Web Conf.
Volume 67, 2024
The 19th IMT-GT International Conference on Mathematics, Statistics and Their Applications (ICMSA 2024)
|
|
|---|---|---|
| Article Number | 01018 | |
| Number of page(s) | 7 | |
| Section | Mathematics, Statistics and Their Applications | |
| DOI | https://doi.org/10.1051/itmconf/20246701018 | |
| Published online | 21 August 2024 | |
Performance of Brownian-motion Process Generated Universal Portfolio in Times of COVID-19 Pandemic
Universiti Tunku Abdul Rahman, Department of Mathematical and Actuarial Sciences, Sungai Long Campus, Bandar Sungai Long, 43000 Kajang, Selangor
* Corresponding author: pangst@utar.edu.my
The universal portfolio is a portfolio investment strategy which theoretically achieves good return. Brownian motion is a stochastic process which is heavily applied in various financial derivative pricing. The goal of this study aims to investigate the performance of finite order Brownian motion process generated universal portfolio (BMPGUP) using 3 independent stocks during COVID-19 pandemic. The research will include 3 daily traded stocks from respective countries, Malaysia KLCI, Singapore STI and Thailand SET 50 from January 2020 to June 2022. The performance is benchmark against Equally Weighted portfolio (EWP). According the investigation, BMPGUP performed better than the benchmark (compare with respective listed index within each country), especially in term of Sharpe ratio and Sortino ratio. This suggests that BMPGUP is a good alternative strategy for investors adopting the universal portfolio strategies.
© The Authors, published by EDP Sciences, 2024
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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