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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Sector Specialization and Low-Risk Strategies |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 40 |
| Date | 2019 |
| Abstract Text | The existence of the low-risk effect cannot be denied and the popularity of low-risk stock portfolios is increasing. The master thesis aims at answering the research question whether the low-risk effect is observable in the S&P 500 and S&P 400 Financials and Health Care sectors from February 1998 to October 2017. For the market and for each of both sectors, two optimization-based and two ranking-based low-risk portfolios are back-tested, on the basis of either the variance or the target semi-variance. The results show that the low-risk effect is observable for optimization-based low-risk portfolios in the market and in both sectors. |
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