Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)

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Analysis of Ten Stock Portfolios Using Markowitz and Single Index Models

Authors
Zeyi Chen1, †, Hao Li2, †, Zeqing Li3, †, Leiming Yin4, *, †
1Jinan University-University of Birmingham Joint institute, Jinan University, Guangzhou, 511400, China
2Department of Commercial Finance, Ningbo Tech University Ningbo, 315000, China
3W.P.Carey School of Business, Arizona State University, Tempe, 85281, US
4Department of International Education, Wuhan University of Technology, Wuhan, 430000, China
†

These authors contributed equally.

*Corresponding author. Email: 296084@whut.ed.cn
Corresponding Author
Leiming Yin
Available Online 29 April 2022.
DOI
10.2991/aebmr.k.220405.202How to use a DOI?
Keywords
Markowitz Model; Single-Index Model; Constraints; Portfolios
Abstract

Reasonable choice of modern portfolio model is a decisive step when making strategy during the investing in capital market or money market. In this paper, the Markowitz Model and Single-Index Model are selected for comparison to show which one could provide better performance. Meanwhile, the Capital Asset Pricing Model (CAPM) is used to support the research. Totally 20 years of historical daily total return data for ten famous companies (Microsoft Corporation, Akamai Technologies, etc.) are collected in this research dealt with a set of complicated mathematical methods. In the analysis step, Excel Slover is used to managing the optimization problem under five different constraints for each model. According to the paper, Markowitz Model performs better in the high-risk portfolio and when faced with a low-risk investment project, utilizing Index Model would be a better choice for the investor.

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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Volume Title
Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
29 April 2022
ISBN
978-94-6239-572-5
ISSN
2352-5428
DOI
10.2991/aebmr.k.220405.202How to use a DOI?
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.

Cite this article

risenwbib
TY  - CONF
AU  - Zeyi Chen
AU  - Hao Li
AU  - Zeqing Li
AU  - Leiming Yin
PY  - 2022
DA  - 2022/04/29
TI  - Analysis of Ten Stock Portfolios Using Markowitz and Single Index Models
BT  - Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
PB  - Atlantis Press
SP  - 1219
EP  - 1225
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220405.202
DO  - 10.2991/aebmr.k.220405.202
ID  - Chen2022
ER  -