Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen
Author-Email: d.allen@ecu.edu.au
Author-Person: pal66
Author-Workplace-Name: School of Accounting, Finance and Economics Edith Cowan University, Australia.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of Economic 
	Research, Kyoto University. 
Author-Name: Robert J. Powell
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University.
Author-Name: Abhay K. Singh
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University.
Title: European Market Portfolio Diversification Strategies across the GFC
Abstract: This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a 
	set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for 
	a nine year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of 
	both the Global Financial Crisis (GFC) and subsequent European Debt Crisis (EDC), is challenging one for the application 
	of portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a 
	variety of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one year 
	investment hold out period, to analyse a naive 1/N diversification strategy, and to contrast its effectiveness with 
	Markowitz mean variance analysis with positive weights. Markowitz opimisation is then compared with various down-side 
	investment opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative 
	effectiveness of Markowitz with various draw-down strategies, utilising a series of backtests .Our results suggest that 
	none of the more sophisticated opimisation strategies appear to dominate naive diversification.
Classification-JEL: G11.
Keywords:  Portfolio Diversification, Markowitz Analaysis, Downside Risk, CVaR, Draw-down.
Length: 22 pages
Creation-Date: 2014
Number: 2014-27 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1427.txt
File-URL: https://eprints.ucm.es/id/eprint/27148/1/1427.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1427