Best Portfolio Choice by Using Markowitz Model

A Case Study of Ten Stocks from S&P500

DOI

10.2991/aebmr.k.220307.034How to use a DOI?

Keywords

portfolio optimization; Markowitz model; S&P 500; case study

Abstract

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”).

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  - 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  - 10.2991/aebmr.k.220307.034
ID  - Chen2022
ER  -