The Optical Portfolio of the Markowitz Model and the Index Model

Under Ten Stocks from S&P 500

DOI

10.2991/aebmr.k.220307.248How to use a DOI?

Keywords

Markowitz Model; Single Index Model; Portfolio

Abstract

This paper compares the effectiveness of the Markowitz model with the Single Index model. Using ten stocks of the S&P 500 index from 2000 to 2020, we first calculate the portfolio of the two models and then find the optimal portfolio to help people know better about choosing a better model under different conditions. In this paper, the portfolio of the Markowitz Model is a little better than the portfolio of the Single Index Model, which means that under the same risk condition, the portfolio of the Markowitz Model can get more returns than the portfolio of the Single Index Model.

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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TY  - CONF
AU  - Zhide Zhang
PY  - 2022
DA  - 2022/03/26
TI  - The Optical Portfolio of the Markowitz Model and the Index Model
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 1519
EP  - 1524
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.248
DO  - 10.2991/aebmr.k.220307.248
ID  - Zhang2022
ER  -