1
$\begingroup$

I want to build a theoretical Portfolio with markowitz optimization for a course in University. The task is to build a Portfolio with low risk. So i want to do a CPPI strategy. Now the stock part of the Portfolio should contain stocks with small volatility. My thought is, that companies with big revenues (e.g blue chip stocks) are less volatile than stocks from younger and smaller companies. Am I right with my assumption and is there empirical evidence?

$\endgroup$
  • 2
    $\begingroup$ why don't you calculate the volatilities and prove your own hypothesis? I thought that was the point of university; to learn. $\endgroup$ – MD-Tech Nov 16 '17 at 13:03
  • $\begingroup$ That would take to much effort to get the data. I thought maybe there are already Research papers which found empirical evidence for this hypothesis to which I can refer to $\endgroup$ – user2968163 Nov 16 '17 at 13:07
  • $\begingroup$ you can just pull historic market data from your market data provider in bulk - in work I use IDC which is paid for and at home i use the free Quandl datasets - and run your favoured measure across the whole set really quickly. I use R and the sd() function (standard deviation) on the log returns and it runs very quickly. $\endgroup$ – MD-Tech Nov 16 '17 at 13:12
  • 1
    $\begingroup$ I am actually alluding to the idea that identifying low volatility stocks may be part of the assignment... $\endgroup$ – MD-Tech Nov 16 '17 at 13:17
  • 1
    $\begingroup$ You could take a shortcut and compare volatility of a blue-chip index (Dow 30) to the volatility of a small cap index (Russell 2000) and determine whether your hypothesis holds water. That is only 2 calculations and could be done in about 10 minutes... $\endgroup$ – amdopt Nov 16 '17 at 14:13

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.