Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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Research and Analysis on Markowitz Model and Index Model of Portfolio Selection

Authors
Mingzhou Jin1, *,a, †, Zexin Li2, *, b, †, Shengkai Yuan3, *, c, †
1College of Art & Science, Boston University, 02215, Boston United States
2School of Architecture & Fine Art, Dalian University Technology, 116024, Dalian,China
3Social Science School, University of California, 92697, Irvine,United States
†

These authors contributed equally.

*Corresponding author. Email:amzjin@bu.edu
Corresponding Authors
Mingzhou Jin, Zexin Li, Shengkai Yuan
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.186How to use a DOI?
Keywords
Markowitz model; Index model; risk; optimize the portfolio
Abstract

With the development of stock portfolio theory, the research value of risk dispersion has become increasingly prominent. How investors construct portfolios has become an important research topic. In the article, we use recent 20 years of historical daily total return data for ten stocks, which belong in groups to three-four different sectors according to Yahoo Finance, the S&P 500 equity index, which include a total of eleven risky assets and a proxy for a risk-free rate, 1-month Fed Funds rate. We calculate all proper optimization inputs for the full Markowitz model, alongside the Index model. Using these optimization inputs for Markowitz model and Index model will need to the regions of permissible portfolios for the five different cases of the additional constraints. We present the results in both the tabular and graphical form with the objective to make inferences and comparisons between the sets of constraints for each optimization problem and between the Markowitz model and Index model. We hope to get an optimal portfolio by comparing the two models under different conditions. Also, we hope that the results of this project can lay a foundation for future on data analysis and investment portfolio creation.

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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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.186How to use a DOI?
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.

Cite this article

risenwbib
TY  - CONF
AU  - Mingzhou Jin
AU  - Zexin Li
AU  - Shengkai Yuan
PY  - 2021
DA  - 2021/12/15
TI  - Research and Analysis on Markowitz Model and Index Model of Portfolio Selection
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 1142
EP  - 1150
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.186
DO  - 10.2991/assehr.k.211209.186
ID  - Jin2021
ER  -