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

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Markowitz and Index Model Comparison Using Different Stocks

Authors
Xiang Li1, *, Jinyi Wang2
1Gatton College of Business and Economics, University of Kentucky, Lexington, 40508, USA
2Department of Social Science, University of California, Irvine, 92617, USA
*Corresponding author. Email: lxi230@uky.edu
Corresponding Author
Xiang Li
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_92How to use a DOI?
Keywords
Markowitz Model; Index Model; Minimum Variance; Maximum Sharpe; Efficient Frontier; Inefficient Frontier
Abstract

Markowitz Model and Index Model are two dominant portfolio optimization models financiers use in recent years. By using these two models, different possible optimized investment strategies can be created for people to distribute their properties wisely. And in this paper, to run the Markowitz Model and Index Model independently, an investment portfolio with 20 years of daily data of total returns of the S&P 500 Index and ten stocks will be employed. After setting five different constraints which correspond to circumstances in real life more, consequential data of the Markowitz Model and Single Index Model will be produced which include the Minimum Variance point, Maximum Sharpe point, Efficient Frontier, Inefficient Frontier, and Minimum Variance Frontier. These data are indispensable elements to compare Markowitz Model and Single Index Model. Comparing these two models is important because it can be ensured that the results from the two models do not differ a lot and these two models are two believable and useful tools to build the optimized investment strategies for people. And this paper also shows that these two models are useful and meaningful under different circumstances after a long time.

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_92
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_92How 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  - Xiang Li
AU  - Jinyi Wang
PY  - 2022
DA  - 2022/12/27
TI  - Markowitz and Index Model Comparison Using Different Stocks
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 808
EP  - 817
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_92
DO  - 10.2991/978-94-6463-052-7_92
ID  - Li2022
ER  -