Defense Stock Portfolios in a Mean-variance Framework
- 10.2991/assehr.k.211209.032How to use a DOI?
- China stock market; aerospace and defense; Markowitz mean-variance framework; portfolio performance
China aerospace and defense sector performed well in recent years, attracting many investors’ attention. This is the first paper that conducts defense stocks portfolio design under Markowitz mean-variance framework. This paper uses the daily return during three years around the 2017 China-Indian border dispute (08/01/2016-07/31/2019) to create two target portfolios: the portfolio with the highest Sharpe ratio and the portfolio with maximum return. I examine the target portfolio’s performance during the period from 08/01/2016 to 07/31/2019 and the two years around the 2020 China-Indian border dispute (08/01/2019-08/01/2021). During the 2017 China-Indian border dispute, the maximum return portfolio provides a return that is 57 times that of an equally weighted portfolio, and the highest Sharpe ratio portfolio’s return is 9 times than that of the equally weighted portfolio. Target portfolios could outperform the equally weighted portfolio around the 2020 China-Indian border dispute most of the time. Still, they performed better during the three years around the 2017 China-Indian border dispute.
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Yabo Deng PY - 2021 DA - 2021/12/15 TI - Defense Stock Portfolios in a Mean-variance Framework BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 196 EP - 202 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.032 DO - 10.2991/assehr.k.211209.032 ID - Deng2021 ER -