The effect of the coronavirus (COVID-19) on the optimal portfolio composition of select industry sectors in the Philippines

• Main Authors: Biacora, Laxmir Roselle Magpantay, Lim, Ida Augusta Ramos, Lanuza, Marc Ivan Pagtama, Lim, Denise Nicole Pimentel
• Format: text
• Language: English
• Published: Animo Repository 2021
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/4; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1007/viewcontent/_THSEFIN__Manuscript__Complete_.pdf; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1007/filename/0/type/additional/viewcontent/Thesis_Data.xlsx; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1007/filename/1/type/additional/viewcontent/Thesis_Model.Rmd
• Institution: De La Salle University

The coronavirus (COVID-19) pandemic has made a detrimental impact on the economy on a global scale. This study focused on the effect of the COVID-19 pandemic on a portfolio of select sector indices of the PSE (hereafter called the portfolio), consisting of Financial, Industrial, Holding, Property, Service, and Mining, and Oils sectors. The methods used were the descriptive, evaluative and comparative research design. The duration of the study involved a 10-year period from the year 2011 throughout 2020 to test specific hypotheses on the pandemic’s impact on the said portfolio. The study utilized daily closing prices, treasury bill rates, and risk-free rates. It aimed to determine whether there were notable differences between the optimal weights of the portfolio before the coronavirus and during the coronavirus period, taking into account specific optimization objectives. The results revealed that the optimal sectoral weights of the portfolio vary depending on the portfolio objectives and constraints of each model.