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

The Influences of Markowitz Model with Different Constraints for Optimal Portfolio

Authors
Zanqi Shi1, *,a, , Sihan Zhu2, *, b,
1Rutgers Business School, Rutgers, The State University of New Jersey, 08901, New Brunswick, The United States
2Letter & Science College, University of California, Davis, 95616, Davis, The United States

These authors contributed equally.

*Corresponding author. Email: azs322@rutgers.edu
Corresponding Authors
Zanqi Shi, Sihan Zhu
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.180How to use a DOI?
Keywords
Portfolio Investment; Risk; The Markowitz Model; Constraints; Comparison; Analysis
Abstract

This paper aims to use the Markowitz model to find the optimal portfolios under different constraints and compare the differences. In this paper, we use ten stocks that correspond to the ten listed companies that need to be analyzed. The paper includes 20 years of historical daily return for ten stocks in NYSE, a proxy for risk-free rate (1-month federal funds rate), and the equity index (S&P 500) data for ten stocks. The optimal weights of the ten stocks have done under five constraint conditions to compare each other within the minimum variance portfolio and maximum Sharpe portfolio. Return rate, standard deviation, and Sharpe ratio are also calculated for determining the optimum portfolio.

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.211209.180How 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

TY  - CONF
AU  - Zanqi Shi
AU  - Sihan Zhu
PY  - 2021
DA  - 2021/12/15
TI  - The Influences of Markowitz Model with Different Constraints for Optimal Portfolio
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 1110
EP  - 1117
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.180
DO  - 10.2991/assehr.k.211209.180
ID  - Shi2021
ER  -