Construction and Analysis of Three Types of Portfolio

DOI

10.2991/aebmr.k.210917.044How to use a DOI?

Keywords

Portfolio proportion, Variance covariance matrix, Markowitz model, Planning to solve

Abstract

This paper constructs three portfolios with different risk preferences and return levels, namely, aggressive, balanced and defensive, for the investment capital of 10 million yuan. Based on the related principles of portfolio theory and the calculation formula of variance and covariance of Markowitz model, the optimal investment portfolio is given for some stocks and bonds selected from 2016 to 2018. Firstly, the weekly closing price and the LN function of each asset collected are used to get the weekly logarithm return rate, and then the expected return rate of each asset in the portfolio is calculated. Secondly, the variance-covariance moment is calculated, the programming solution model is built, three kinds of constraints are formulated, and the investment proportion of each asset in the three kinds of portfolio is obtained. According to the monthly return rate of each asset and the proportion of investment in 2018, the monthly return rate and annual return rate of the three investment portfolios are obtained. According to this work, it can be seen that the aggressive portfolio performs best in the bull market, and the defensive portfolio performs best in the bear market.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yu Huang
PY  - 2021
DA  - 2021/09/18
TI  - Construction and Analysis of Three Types of Portfolio
BT  - Proceedings of the 2021 International Conference on Financial Management and Economic Transition (FMET 2021)
PB  - Atlantis Press
SP  - 276
EP  - 280
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210917.044
DO  - 10.2991/aebmr.k.210917.044
ID  - Huang2021
ER  -