Comparative Analysis of Mean-Variance and Safety-First Portfolio Utilizing Exchange Traded Funds in Asia

Abstract

This paper presents a comparative analysis of mean-variance and safety-first portfolios exploiting exchange traded funds in ASIA. Different portfolio weight thresholds (risk-return trade-off parameters) for safety-first (mean-variance) model are used in order to consider all type of investors. Back-test result shows that Both safety-first and mean-variance portfolios of exchange traded funds can outperform the benchmark. It was also observed that most safety-first investors and risk-seeking mean-variance investors can significantly outperform the benchmark. Overall, this study offers alternative investment frameworks that can probably be considered as a generic investment procedure for any investor.