Application and Comparison of Markowitz Model and Index Model in Hong Kong Stock Market

DOI

10.2991/aebmr.k.220405.298How to use a DOI?

Keywords

Index model; Markowitz model; Hong Kong stock market; Optimal portfolio

Abstract

This paper aims to study the differences between the index model and the Markowitz model in the Hong Kong stock market and American stock market and explore the advantages and disadvantages of these two models, to provide an investment suggestion for investors who want to enter the Hong Kong stock market. This paper uses the price data of 15 stocks in the recent two years to calculate their return, standard deviation, beta, and other parameters. Using the index model and the Markowitz model to build the portfolio through these parameters. The research results are similar to some research results of applying the index model and the Markowitz model to the American stock market. The portfolios constructed by the two models are almost the same, but the result of the index model will be slightly better than that of the Markowitz model, and the amount of calculation required to construct the index model is much less than that of the Markowitz model. Therefore, this paper recommends investors who want to enter the Hong Kong stock market use the index model when building their optimal portfolio.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

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TY  - CONF
AU  - Haochen Ni
PY  - 2022
DA  - 2022/04/29
TI  - Application and Comparison of Markowitz Model and Index Model in Hong Kong Stock Market
BT  - Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
PB  - Atlantis Press
SP  - 1779
EP  - 1784
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220405.298
DO  - 10.2991/aebmr.k.220405.298
ID  - Ni2022
ER  -