Best Portfolio Choice by Using Markowitz Model
A Case Study of Ten Stocks from S&P500
- https://doi.org/10.2991/aebmr.k.220307.034How to use a DOI?
- portfolio optimization; Markowitz model; S&P 500; case study
Our paper practically implements the idea that people can have the best portfolio choice by Markowitz Model. Using a recent 20 years of historical daily total return data for ten stocks from S&P 500, one equity index (S&P 500) and a proxy for risk-free rate (1-month Fed Funds rate), we use Excel to arrange those data and categorize them with Solver Table. Then, to reduce the non-Gaussian effects, we aggregate the daily data into the monthly observations based on those monthly observations. Finally, we calculate all proper optimization inputs for the full Markowitz Model (“MM”).
- © 2022 The Authors. Published by Atlantis Press International B.V.
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Cite this article
TY - CONF AU - Keyu Chen PY - 2022 DA - 2022/03/26 TI - Best Portfolio Choice by Using Markowitz Model BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 215 EP - 220 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.034 DO - https://doi.org/10.2991/aebmr.k.220307.034 ID - Chen2022 ER -