Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

An Empirical Study on Markowitz and Single Index Model

Authors
Junqing Wu1, *
1Shanghai Lixin University of Accounting and Finance, 201620, Shanghai, China
*Corresponding author. Email: @171843187@masu.edu.cn
Corresponding Author
Junqing Wu
Available Online 26 March 2022.
DOI
https://doi.org/10.2991/aebmr.k.220307.461How to use a DOI?
Keywords
Markowitz Model; Index Model; Optimal Portfolio
Abstract

In this paper, the Markowitz Model and the Single-Index Model were used to study U.S. stocks. Four industries of U.S. stocks were selected to empirically analyze the data from 2002 to 2021, and the combination selection results given by the two models under five restrictions were compared. The results turned out that with all five constraints, the Sharpe ratio of the optimal portfolio provided by the Index Model, 1.432, 1.523, 1.597, 1.279, 1.333, respectively, was higher than that by the Markowitz Model,1.416, 1.503, 1.540, 1.256, 1.329, respectively, which showed that although both models can give investors investment suggestions for portfolio selection, the single-index model performs better.

Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
978-94-6239-554-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.220307.461How to use a DOI?
Copyright
© 2022 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  - Junqing Wu
PY  - 2022
DA  - 2022/03/26
TI  - An Empirical Study on Markowitz and Single Index Model
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 2845
EP  - 2850
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.461
DO  - https://doi.org/10.2991/aebmr.k.220307.461
ID  - Wu2022
ER  -