Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)

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Optimizing Returns of Diversified Investment Portfolio with Markowitz Model

Authors
Ge Bu1, Yuming Liu2, *
1Macau University of Science and Technology, Macau, 999078, China
2Southwest University, Chongqing, 400715, China
*Corresponding author. Email: Nikeou@Email.swu.edu.cn
Corresponding Author
Yuming Liu
Available Online 10 October 2023.
DOI
10.2991/978-94-6463-268-2_16How to use a DOI?
Keywords
Markowitz model; Monte Carlo method; optimal product allocation; utility function
Abstract

In recent years, the underlying assets allocation has become a hot topic, where tremendous investors and analyzers are tried to construct portfolio with well performances (e.g., maximum Sharpe ratio, minimum volatility, maximum Calmar ratio) under the framework of quantitative analysis. As a matter of fact, the portfolio theory utilizes historical data of different underlying assets (e.g., stocks, futures, spots, options as well as cryptocurrencies) to analyze the assets being invested. This paper presents a method to generate the Markowitz model using the Monte Carlo method and combines it with the utility function to obtain a low-risk, high-return investment portfolio. According to the analysis, the allocation of investment business products is illustrated using diversified investment products as an example. Overall, this study provides guidance and suggestions for real-world investment for investors, aiming to avoid risks and achieve relatively high returns. These results shed light on guiding further exploration of portfolio construction.

Copyright
© 2024 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 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
10 October 2023
ISBN
10.2991/978-94-6463-268-2_16
ISSN
2352-5428
DOI
10.2991/978-94-6463-268-2_16How to use a DOI?
Copyright
© 2024 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  - Ge Bu
AU  - Yuming Liu
PY  - 2023
DA  - 2023/10/10
TI  - Optimizing Returns of Diversified Investment Portfolio with Markowitz Model
BT  - Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)
PB  - Atlantis Press
SP  - 123
EP  - 135
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-268-2_16
DO  - 10.2991/978-94-6463-268-2_16
ID  - Bu2023
ER  -