Portfolio selection during the crisis

In this paper, we propose a Mean-Variance analysis, with the aim of analyzing the different investment choices in the European Stock Market and the ambitious goal of comparing the effects on the Stock Market during periods of crises. To do this, five countries with the largest capitalization in Europe were chosen: Italy, Germany, France, Spain and United Kingdom. For each of the five Stock Markets, we propose an ex-post analysis based on the mean-variance optimal choices during the last two decades. Therefore, for each stock market, we examine the ex-post optimal mean-variance investments evaluating which sectors were suffering during the subprime crisis, the sovereign credit risk crisis and the covid 19 crisis.