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- W4288455370 abstract "This study demonstrates the major role played by the healthcare and pharmaceutical industries during the COVID-19 pandemic. For this purpose, it provides evidence of a better risk-return relationship in these sectors through a multivariate study of monthly frequency. A global and dynamic ratio is developed to summarize different investor profiles according to their attitude toward risk and to consider the dynamic and changing nature of the economy and financial markets. This global ratio synthesizes the information from different orders of Kappa indices and Farinelli-Tibiletti ratios into a single measure. Additionally, we verify that Principal Component Analysis allows summarizing the information contained in the initial variables from the first new component. Our findings confirm that a filtering asset screening rule strategy is relevant and necessary. In this respect, passive management of midterm equal-weighted pharmaceutical portfolios outperforms both the pure financial and the healthcare investment strategies used during the pandemic." @default.
- W4288455370 created "2022-07-29" @default.
- W4288455370 creator A5030167045 @default.
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- W4288455370 date "2022-09-01" @default.
- W4288455370 modified "2023-09-29" @default.
- W4288455370 title "Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development" @default.
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- W4288455370 doi "https://doi.org/10.1016/j.ins.2022.07.146" @default.
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