The Application of Markowitz Model and Index Model on Portfolio Optimization

DOI

10.2991/aebmr.k.220405.002How to use a DOI?

Keywords

Index model; Markowitz model; risk avoidance; Portfolio Optimization

Abstract

With the progress of the global economy and science and technology, as well as the development of stock portfolio theory, sophisticated investors are considering return and risk management as their priority. In this article, we analyze different stocks from 10 renowned companies, representing the risk-free rate and the one-month federal funds rate. We calculated all the appropriate optimization inputs for the entire Markowitz model and the Index model, which means that we will need five different additional constraints on the allowed portfolio areas. For the output, we present the report as a combination of tables and graphs to conduct comparison between the constraint sets for each optimization problem and between the two models. By the same token, the final objective for this report would set in paving the way for future portfolio optimization and lay the theoretical foundation for investors’ future choices.

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  - Jiyao Sun
PY  - 2022
DA  - 2022/04/29
TI  - The Application of Markowitz Model and Index Model on Portfolio Optimization
BT  - Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
PB  - Atlantis Press
SP  - 3
EP  - 8
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220405.002
DO  - 10.2991/aebmr.k.220405.002
ID  - Sun2022
ER  -