Reviewing Optimized Portfolios: All Seasons Strategy

Abstract

Purpose

Our research revisits the study “Optimized Portfolios: All Seasons Strategy,” where we support diversified portfolios to minimize risk, considering the principle of Markowitz.

Theoretical framework

We re-examine the results of Navas et al. (2020). The idea behind this is the theory of Harry Markowitz (1959, 2010), regarded as the founder of modern portfolio theory.

Design/methodology/approach

Six different models are run using data from 2000 to 2010 and a solver is developed, where the GRG Nonlinear engine for linear solver problems is the solving process chosen.

Findings

The GRG Nonlinear engine is efficient if we take into account ways to lower volatility since it is inversely correlated to predictions.

Practical & social implications of research

To predict the composition of the portfolios, we do not take into consideration the crash of gold and precious metals in 2013.

Originality/value

Robust portfolios can be generated where the risk is minimized and the return is maximized.

Keywords
MPT; Markowitz; portfolio formation; Sharpe ratio; volatility