Defense Stock Portfolios in a Mean-variance Framework

DOI

10.2991/assehr.k.211209.032How to use a DOI?

Keywords

China stock market; aerospace and defense; Markowitz mean-variance framework; portfolio performance

Abstract

China aerospace and defense sector performed well in recent years, attracting many investors’ attention. This is the first paper that conducts defense stocks portfolio design under Markowitz mean-variance framework. This paper uses the daily return during three years around the 2017 China-Indian border dispute (08/01/2016-07/31/2019) to create two target portfolios: the portfolio with the highest Sharpe ratio and the portfolio with maximum return. I examine the target portfolio’s performance during the period from 08/01/2016 to 07/31/2019 and the two years around the 2020 China-Indian border dispute (08/01/2019-08/01/2021). During the 2017 China-Indian border dispute, the maximum return portfolio provides a return that is 57 times that of an equally weighted portfolio, and the highest Sharpe ratio portfolio’s return is 9 times than that of the equally weighted portfolio. Target portfolios could outperform the equally weighted portfolio around the 2020 China-Indian border dispute most of the time. Still, they performed better during the three years around the 2017 China-Indian border dispute.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Yabo Deng
PY  - 2021
DA  - 2021/12/15
TI  - Defense Stock Portfolios in a Mean-variance Framework
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 196
EP  - 202
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.032
DO  - 10.2991/assehr.k.211209.032
ID  - Deng2021
ER  -