Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)

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Application of Mean-Variance Model in the U.S. Capital Market

Authors
Keke Lin1, *
1Faculty of Business and Economics, The University of Melbourne, Melbourne, Australia
*Corresponding author. Email: keklin@student.unimelb.edu.au
Corresponding Author
Keke Lin
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_86How to use a DOI?
Keywords
Mean-variance; capital market; FF3F; sharpe ratio
Abstract

Portfolio optimization is a popular procedure that is widely used in the financial industry. This paper conducts asset allocation analysis for diversified assets, including iron and steel industry, technology, healthcare, information industry and energy areas. There are five assets selected from the different areas which perform well in recent years. This paper uses three methods, namely Mean-variance analysis, CAPM and FF3F model, to find the portfolio optimization. Also, this paper uses the weights to analyse the performance of portfolio in different methods. The result shows that, in the FF3F model, ‘LMBEX’ contains the largest weight in both maximum sharpe ratio portfolio and minimum variance portfolio, while in the CAPM, ‘ADX’ and ‘LMBEX’ account for the largest weight in maximum sharpe ratio portfolio and minimum variance portfolio, respectively. This research may be useful to the potential investors who interested in steel, technology, healthcare, information, and energy industries.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
10.2991/978-94-6463-052-7_86
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_86How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Keke Lin
PY  - 2022
DA  - 2022/12/27
TI  - Application of Mean-Variance Model in the U.S. Capital Market
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 749
EP  - 757
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_86
DO  - 10.2991/978-94-6463-052-7_86
ID  - Lin2022
ER  -