Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

Application of Modern Portfolio Theory in Stock Market based on Empirical analysis

Authors
Jiaming Hu
1Yew Chung International School
*Corresponding author. Email: alvin.ku.a@icloud.com
Corresponding Author
Jiaming Hu
Available Online 26 March 2022.
DOI
10.2991/aebmr.k.220307.255How to use a DOI?
Keywords
“component”; “investment”; “stock”; “modern portfolio theory”; “market”
Abstract

With the rapid growth of the stock market, stocks have been viewed as one of the most popular investments. Investors then face a problem that is how to allocate resources among the variety of stocks with the aim to increase their wealth through investment activities. The paper aims to design an investment strategy for risk-averse investors. We study the modern portfolio theory and apply the mean-variance analysis to quantify expected portfolio returns and acceptable levels of portfolio risk. We would like to obtain an optimal portfolio and provide investors with investment strategies. We consider the daily adjusted closing stock prices between January 2010 and January 2021 of 5 companies: Facebook, Amazon, Apple, Netflix, and Google. Our results show that such mean-variance optimization is applicable. Furthermore, we can achieve a minimum variance portfolio with the lowest possible level of the risk of 23% (standard deviation), while the expected return is approximately 28%. Additionally, the best risk-adjusted portfolio can be achieved with a higher return of 33% at risk of 23%.

Copyright
© 2022 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 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
978-94-6239-554-1
ISSN
2352-5428
DOI
10.2991/aebmr.k.220307.255How to use a DOI?
Copyright
© 2022 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  - Jiaming Hu
PY  - 2022
DA  - 2022/03/26
TI  - Application of Modern Portfolio Theory in Stock Market based on Empirical analysis
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 1561
EP  - 1567
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.255
DO  - 10.2991/aebmr.k.220307.255
ID  - Hu2022
ER  -