A0302
Title: Safe assets during Covid-19: A portfolio management perspective
Authors: Julien Chevallier - IPAG Business School (France) [presenting]
Abstract: The pandemic crisis of Covid-19 hit the financial markets like a shockwave on March 19, 2020. The aim is to capture which ``safe assets'' asset managers could have fled during the first wave of the pandemic. From an investment manager's perspective, candidate assets are stocks, bonds, exchange rates, commodities, gold, and (gold-backed) cryptocurrencies. Empirical tests of the Safe-Haven hypothesis are conducted, upon which the selection of assets is performed. The methodological framework hinges on the Global Minimum Variance Portfolio with Monte Carlo simulations. The portfolio optimization routine is performed under Python. The result will inform investors about the returns that could have been achieved during such a stressful event.
