Proceedings of the 2022 International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2022)

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The Application of Modern Portfolio Theory in US Stock Market with the Use of Python Programming

Authors
Tianjia Xia1, *
1Institute of Problem Solving, Daqing No. 1 Middle School, Xibin Street, Daqing, China
*Corresponding author. Email: 1717326862@qq.com
Corresponding Author
Tianjia Xia
Available Online 20 December 2022.
DOI
10.2991/978-94-6463-030-5_17How to use a DOI?
Keywords
Modern Portfolio Theory; Investment; Finance; Stock Market; Python Programming
Abstract

The purpose of our study is to investigate the application of Modern portfolio Theory in the stock markets and design an investment strategy for risk-averse investors. The principle of the Modern portfolio theory is mean-variance analysis, that is we use mean and variance to measure the expected return and risk of portfolios respectively, and select an optimal portfolio based on it. The core idea is diversification of investments, which means to divide the investment into a combination of different financial assets or shares of different companies, such as stocks and securities. We investigate the adjusted closing stock price of five companies: Facebook, Amazon, Apple, Netflix and Google, from 2011 to 2021. Our results show that the minimum risk (annualized volatility at 23%) can be obtained when the expected annualized return is at level of 28%. A higher expected annualized return (at the level of 33%) might be achieved if the investors are willing to take more risk (annualized volatility at 25%).

Copyright
© 2023 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 Bigdata Blockchain and Economy Management (ICBBEM 2022)
Series
Atlantis Highlights in Intelligent Systems
Publication Date
20 December 2022
ISBN
10.2991/978-94-6463-030-5_17
ISSN
2589-4919
DOI
10.2991/978-94-6463-030-5_17How to use a DOI?
Copyright
© 2023 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  - Tianjia Xia
PY  - 2022
DA  - 2022/12/20
TI  - The Application of Modern Portfolio Theory in US Stock Market with the Use of Python Programming
BT  - Proceedings of the 2022 International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2022)
PB  - Atlantis Press
SP  - 152
EP  - 160
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-030-5_17
DO  - 10.2991/978-94-6463-030-5_17
ID  - Xia2022
ER  -