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.
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 -