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The Impact of Covid-19 on Portfolio Allocation in the UK Equity Market

The Impact of Covid-19 on Portfolio Allocation in the UK Equity Market

Madonia, Giuseppina and Guidi, Francesco ORCID: 0000-0002-2682-189X (2020) The Impact of Covid-19 on Portfolio Allocation in the UK Equity Market. [Working Paper] (Unpublished)

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Abstract

We examine the impact of Covid-19 on portfolio allocation in the UK stock market, using UK FTSE All-Share sectoral data. We estimate the optimal portfolio composition using a Mean Variance Portfolio approach and compare it with other common investment strategies. We find that relative to pre-Covid-19, the composition of the optimal portfolio became more concentrated, including only the Health Care and the Consumer Goods sectors. As the lockdown measures eased, the optimal portfolio allocation became more diversified, although the weight on the Health Care sector remained significantly higher than in the pre-Covid period.

Item Type: Working Paper
Uncontrolled Keywords: Covid-19, equity market, portfolio allocation
Subjects: H Social Sciences > HB Economic Theory
Faculty / Department / Research Group: Faculty of Business
Faculty of Business > Department of International Business & Economics
Last Modified: 01 Dec 2020 17:02
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
Selected for GREAT 2019: None
Selected for REF2021: None
URI: http://gala.gre.ac.uk/id/eprint/30331

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