Table 8 The weights forecast of MVPs of 21 bi-asset portfolios for alternative CAAs during the COVID-19 period ending to one year after 2020/3/11.

From: Does the COVID-19 pandemic affect the asset allocation performance? Evidence from a composite asset selection approach

 

σp

rp

w1

σp

rp

w1

σp

rp

w1

 

wt-go

wt-ch

wt-eu

CW

1.2570

0.0123

0.000

4.8782

0.2277

0.300

0.4614

0.0172

0.000

CWI

1.2487

0.0159

0.015

4.8617

0.2268

0.263

0.4610

0.0177

0.002

MDWI

1.7682

0.0465

0.145

6.5434

0.2373

0.659

0.4759

0.0205

0.014

DWI

1.2679

0.0212

0.038

6.1751

0.2359

0.607

0.4628

0.0167

-0.002

 

wt-bi

wt-et

wt-li

CW

4.8373

0.6828

0.200

5.9582

0.6326

0.400

5.5894

0.4614

0.300

CWI

4.8183

0.6611

0.239

5.9562

0.6407

0.387

5.5702

0.4491

0.339

MDWI

6.2456

0.4592

0.609

7.1505

0.4303

0.714

6.9645

0.3387

0.699

DWI

5.9174

0.4865

0.559

6.9407

0.4512

0.681

6.8040

0.3459

0.675

 

go-ch

go-eu

go-bi

CW

1.2613

0.0123

1.000

0.4610

0.0172

0.000

1.2579

0.0123

1.000

CWI

1.2327

0.0219

0.953

0.4607

0.0171

0.014

1.2566

0.0207

0.989

MDWI

1.2328

0.0223

0.952

0.4607

0.0172

0.008

1.2566

0.0215

0.988

DWI

1.2379

0.0178

0.973

0.4659

0.0168

0.073

1.2566

0.0200

0.990

 

go-et

go-li

ch-eu

CW

1.2501

0.0123

1.000

1.2561

0.0123

1.000

0.4642

0.0172

0.000

CWI

1.2486

0.0195

0.991

1.2540

0.0182

0.989

0.4630

0.0184

0.005

MDWI

1.2500

0.0264

0.983

1.2547

0.0213

0.983

0.4630

0.0185

0.006

DWI

1.2486

0.0210

0.990

1.2578

0.0260

0.974

0.4630

0.0184

0.006

 

ch-bi

ch-et

ch-li

CW

3.9679

0.5058

0.500

4.5583

0.4879

0.600

4.3803

0.3533

0.600

CWI

3.9649

0.5173

0.479

4.5429

0.4612

0.639

4.3799

0.3557

0.592

MDWI

4.0017

0.5572

0.410

4.5783

0.5016

0.579

4.3885

0.3662

0.561

DWI

3.9755

0.5387

0.442

4.5861

0.5059

0.573

4.3848

0.3636

0.569

 

eu-bi

eu-et

eu-li

CW

0.4625

0.0172

1.000

0.4622

0.0172

1.000

0.4636

0.0172

1.000

CWI

0.4615

0.0215

0.994

0.4622

0.0176

0.999

0.4626

0.0196

0.995

MDWI

0.4616

0.0220

0.993

0.4622

0.0174

0.999

0.4626

0.0197

0.995

DWI

0.4616

0.0226

0.993

0.4623

0.0163

1.001

0.4627

0.0201

0.994

 

bi-et

bi-li

et-li

CW

5.9681

0.7821

1.100

5.8784

0.7681

0.900

6.9962

0.5872

0.100

CWI

5.9681

0.7824

1.097

5.8784

0.7684

0.901

6.9951

0.5964

0.127

MDWI

5.9773

0.7752

1.170

5.9421

0.8213

1.123

6.9989

0.5792

0.076

DWI

5.9922

0.7940

0.978

5.8891

0.7900

0.991

7.2214

0.7306

0.526

  1. 1. The CW denotes the constant weight. Moreover, CWI and DWI represent the constant weight for the In-sample period and dynamic weight for the in-sample period, respectively. In addition, MDWI denotes the Mean of DWI. The CW, CWI, DWI, and MDWI, the four capital allocation approaches, are used to get the weights of the MVP for alternative bi-asset portfolios. 2. ‘wt’ and ‘go’, respectively, denote the WTI and gold in the commodity market. On the other hand, ‘ch’ and ‘eu’, respectively, represent the Chinese yuan (CHUS) and euro (USEU) in the exchange rate market. In addition, ‘bi’, ‘et’, and ‘li’, respectively, denote Bitcoin, Ethereum, and Litecoin in the cryptocurrency market. 3. ‘\({{w}}_{1}\)’ denotes the weight of the first component asset for a bi-asset portfolio, whereas \({{r}}_{{\rm{P}}}\) and \({{\sigma }}_{{\rm{P}}}\) denote the mean return and mean volatility of a bi-asset portfolio for the in-sample period, respectively. 4. Italic font in column ‘\({{\sigma }}_{{\rm{P}}}\)’ at the rows ‘CW’, ‘CWI’, ‘MDWI’, and ‘DWI’ denotes the lowest volatility among the values of the volatility of MVPs for the four CAA.
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