Mean-Variance Portfolio Selection Utilizing Exchange Traded Funds in Asia

Abstract

This paper presents a portfolio optimization procedure utilizing exchange traded funds in ASIA considering different risk factors of a mean-variance investor. Back-test shows that the MV portfolios of exchange traded funds can significantly outperform the considered benchmark. It was also observed that MV investors who are leaning more on returns in the return-and-risk tradeoff parameters tend to have superior returns that their risk concerned counterparts. Overall, this study provides an alternative profitable investment option for mean-variance investors which can possibly be a generic investment procedure for any investor.