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

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Portfolio Optimization with or Without Safe Asset

Authors
Yongyu Liu1, *
1College of Arts and Science, New York University, New York, USA
*Corresponding author. Email: yl6801@nyu.edu
Corresponding Author
Yongyu Liu
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_49How to use a DOI?
Keywords
Portfolio Optimization; Fama–French 3 factor model (FF3F); Capital Asset Pricing Model (CAPM)
Abstract

Portfolio optimization is one of the most common and essential technique in measuring the plausibility of the designated combinations of the assets. Optimal Portfolio are well diversified to decrease the non-price risk and the unsystematic risk of the assets, which maximizes the returns of the stocks and protects the investors from the underperformances of certain assets. This paper engages in portfolio optimization through the asset allocation for different types of equities: Exchange-traded funds (ETF), mutual funds and stocks. First, there are five assets chosen from the market and their closed price are elicited as their daily returns. Second, using Fama–French 3 factor model (FF3F), the researchers can calculate the expected returns and possible risks of the portfolio. Third, they then utilize the built-in Solver function in Excel to generate a maximum value for the Sharpe ratio by putting various weights on different assets in that portfolio.

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_49
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_49How 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  - Yongyu Liu
PY  - 2022
DA  - 2022/12/27
TI  - Portfolio Optimization with or Without Safe Asset
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 425
EP  - 432
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_49
DO  - 10.2991/978-94-6463-052-7_49
ID  - Liu2022
ER  -