Portfolio Selection of Historical Blue Chips in the Philippine Stock Market during COVID19 Pandemic

Abstract

This paper offers a comparative study and investigation of mean- variance and safety-first model portfolios using Philippines Stock Exchange blue chips companies as an investment pool. The portfolio selection model utilizes the past 500 historical trading days to gather the data and used as a return scenario. The 222 days back testing before and during covid19 hits the Philippines stock market reveals that safety-first model can be a good portfolio model specially when the investors becomes more optimistic on investing in the blue-chips companies. On the other hand, the mean-variance portfolios are outperformed by the market. These findings can be a good start of a new alternative investment option specially when we considered Philippine stock market as an investment pool.