Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

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Investment Portfolio Establishment

Based on Mean, Variance and Sharpe Ratio

Authors
Han Yang1, *, Jiachen Li2, Rong Shi3, Mancang Gu4
1Chengdu University of Technology, Chengdu, China
2Queen’s University Belfast, Belfast, UK
3Sino-German School, Finance, Shanxi University of Finance and Economics, Taiyuan, China
4Department of Electronic Engineering Information Technology, Shandong University of Science and Technology, Jinan, China
*Corresponding author. Email: yang.han1@student.zy.cdut.edu.cn
Corresponding Author
Han Yang
Available Online 10 August 2023.
DOI
10.2991/978-94-6463-198-2_2How to use a DOI?
Keywords
Investment portfolio; I.I.D assumption; Markowitz Mean Variance Model; Sharpe Ratio
Abstract

The objective of this article is to reveal the evolution of the investment portfolio establishment approach. The evolution from the diversification effect, whose primary goal is to minimize risk, to the use of the Markowitz model to find the portfolio with the highest return per risk, to finally taking capital constraints into account, so that investors can find the best portfolio under the constraints of limited capital. We select three assets with low correlation, named Putnminc, Fidel and Keystne, then collecting and analyzing their monthly return values to illustrate the evolution process. Simultaneously, the impact of risk-free assets is taken into consideration.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
10 August 2023
ISBN
978-94-6463-198-2
ISSN
2589-4900
DOI
10.2991/978-94-6463-198-2_2How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Han Yang
AU  - Jiachen Li
AU  - Rong Shi
AU  - Mancang Gu
PY  - 2023
DA  - 2023/08/10
TI  - Investment Portfolio Establishment
BT  - Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
PB  - Atlantis Press
SP  - 4
EP  - 22
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-198-2_2
DO  - 10.2991/978-94-6463-198-2_2
ID  - Yang2023
ER  -