Investment Portfolio Establishment Based on Index Model Linked with Different Constraints
These authors contributed equally.
- DOI
- 10.2991/assehr.k.211209.268How to use a DOI?
- Keywords
- Index model; minimum variance portfolio; maximum sharp portfolio; minimum variance frontiers; minimum return frontiers; efficient frontiers
- Abstract
After Markowitz Model was invented, people continue to find series of problems about implementing the model to real world and Index model was introduced to solve these problems. In this paper, we use index model to form minimum variance portfolios and maximum Sharpe portfolios for series of stocks and S&P 500 index. To see how model performs and provide advice to investors under real-world regulations,we implement index model under 5 different constraints and plot minimum variance frontiers, minimum return frontiers and efficient frontiers. The paper compares results for index model under different constraints, and further analysis suggests that regulations aiming at preventing investors from having extreme position performs better than those banning shorting.
- Copyright
- © 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 - Shaoyu Ding AU - Heming Ma AU - Shiyue Zhang PY - 2021 DA - 2021/12/15 TI - Investment Portfolio Establishment Based on Index Model Linked with Different Constraints BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 1663 EP - 1671 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.268 DO - 10.2991/assehr.k.211209.268 ID - Ding2021 ER -