COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.]
The global COVID-19 pandemic has significantly impacted Malaysia's stock market in almost every sector. Transportation and logistics assets are some of the major industries that have been affected by the outbreak. This study considers portfolios of investment that contain transportation and log...
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| Main Authors: | , , , |
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| Format: | Monograph |
| Language: | en |
| Published: |
UiTM Cawangan Negeri Sembilan
2021
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| Online Access: | https://ir.uitm.edu.my/id/eprint/65241/1/65241.pdf https://ir.uitm.edu.my/id/eprint/65241/ |
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| _version_ | 1833073127976861696 |
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| author | Maasar, Mohd Azdi Jamil, Sallehudin Ayub Md Arsad, Nur Nadia Abdullah, Siti Zuraini |
| author_facet | Maasar, Mohd Azdi Jamil, Sallehudin Ayub Md Arsad, Nur Nadia Abdullah, Siti Zuraini |
| author_sort | Maasar, Mohd Azdi |
| building | Tun Abdul Razak Library |
| collection | Institutional Repository |
| content_provider | Universiti Teknologi Mara |
| content_source | UiTM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | The global COVID-19 pandemic has significantly impacted Malaysia's stock market in almost every sector. Transportation and logistics assets are some of the major industries that have been affected by the outbreak. This study considers portfolios of investment that contain transportation and logistics assets in Malaysia, where the aim is to minimise the risk of these portfolios by using the mean-CVaR optimisation model (see [1] for model construction). We also compare the risk behaviours of these portfolios in two different time frames: 1. Before- and 2. Duringthe COVID-19 outbreak with conditional value at risk (CVaR) as a risk measure. Thus, we implement mean-CVaR0.05 on the transportation and logistics assets for: (a) before COVID-19 (B-portfolios); and (b) during COVID-19 (D-portfolios).
The randomness of return distributions for each asset is obtained by simulating the monthly scenario returns of 18 transportation and logistics companies listed in Bursa Malaysia from January 2009 until December 2020. Ten optimal (in-sample) portfolios are obtained by minimising the risk using the mean-CVaR optimisation model with three target returns of 0.1%, 0.5%, and 1%, representing low, medium, and high returns, respectively. The risk behaviours of these portfolios are validated by using the out-of-samples analysis. |
| format | Monograph |
| id | my.uitm.ir-65241 |
| institution | Universiti Teknologi Mara |
| language | en |
| publishDate | 2021 |
| publisher | UiTM Cawangan Negeri Sembilan |
| record_format | eprints |
| spelling | my.uitm.ir-652412022-08-15T06:08:08Z https://ir.uitm.edu.my/id/eprint/65241/ COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.] Maasar, Mohd Azdi Jamil, Sallehudin Ayub Md Arsad, Nur Nadia Abdullah, Siti Zuraini AP Periodicals Statistical data PN Literature (General) Mathematical statistics. Probabilities The global COVID-19 pandemic has significantly impacted Malaysia's stock market in almost every sector. Transportation and logistics assets are some of the major industries that have been affected by the outbreak. This study considers portfolios of investment that contain transportation and logistics assets in Malaysia, where the aim is to minimise the risk of these portfolios by using the mean-CVaR optimisation model (see [1] for model construction). We also compare the risk behaviours of these portfolios in two different time frames: 1. Before- and 2. Duringthe COVID-19 outbreak with conditional value at risk (CVaR) as a risk measure. Thus, we implement mean-CVaR0.05 on the transportation and logistics assets for: (a) before COVID-19 (B-portfolios); and (b) during COVID-19 (D-portfolios). The randomness of return distributions for each asset is obtained by simulating the monthly scenario returns of 18 transportation and logistics companies listed in Bursa Malaysia from January 2009 until December 2020. Ten optimal (in-sample) portfolios are obtained by minimising the risk using the mean-CVaR optimisation model with three target returns of 0.1%, 0.5%, and 1%, representing low, medium, and high returns, respectively. The risk behaviours of these portfolios are validated by using the out-of-samples analysis. UiTM Cawangan Negeri Sembilan 2021-11 Monograph NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/65241/1/65241.pdf COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.]. (2021) Bulletin. UiTM Cawangan Negeri Sembilan. |
| spellingShingle | AP Periodicals Statistical data PN Literature (General) Mathematical statistics. Probabilities Maasar, Mohd Azdi Jamil, Sallehudin Ayub Md Arsad, Nur Nadia Abdullah, Siti Zuraini COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.] |
| title | COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.] |
| title_full | COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.] |
| title_fullStr | COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.] |
| title_full_unstemmed | COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.] |
| title_short | COVID-19 effects on risk minimising portfolio of transportation and logistics assets / Mohd Azdi Maasar ... [et al.] |
| title_sort | covid-19 effects on risk minimising portfolio of transportation and logistics assets / mohd azdi maasar ... [et al.] |
| topic | AP Periodicals Statistical data PN Literature (General) Mathematical statistics. Probabilities |
| url | https://ir.uitm.edu.my/id/eprint/65241/1/65241.pdf https://ir.uitm.edu.my/id/eprint/65241/ |
| url_provider | http://ir.uitm.edu.my/ |