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Risk, return and portfolio optimization for various industries in the ASEAN region

Author

Listed:
  • Duc Hong Vo
  • Thach Ngoc Pham
  • Trung Thanh Vu Pham
  • Loc Minh Truong
  • Thang Cong Nguyen

Abstract

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.

Suggested Citation

  • Duc Hong Vo & Thach Ngoc Pham & Trung Thanh Vu Pham & Loc Minh Truong & Thang Cong Nguyen, 2019. "Risk, return and portfolio optimization for various industries in the ASEAN region," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 19(2), pages 132-138, June.
    • Handle: RePEc:bor:bistre:v:19:y:2019:i:2:p:132-138
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    File URL: https://www.sciencedirect.com/science/article/pii/S2214845018301698
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    More about this item

    Keywords

    ASEAN; CVaR; Portfolio optimization; Returns; Risks;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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