How to Find Optimal Portfolios among Nine Mutual Funds from US
These authors contributed equally.
- https://doi.org/10.2991/aebmr.k.220307.478How to use a DOI?
- Matual fund; Portfolio selection; Optimal Portfolio; Sharpe Ratio
Portfolio selection is a common field in the financial world. Investors are always willing to find an optimal portfolio among several assets. In this paper, this report wants to find out a method that can help investors decide their optimal portfolios quickly through some simple comparison. This report use nine mutual funds in the US as the sample. This report set a certain range for the weight of single funds and built a portfolios enumeration model to enumerate all the possible portfolios which contain three single funds and use the Sharpe ratio to determine a portfolio’s good or bad. The result is that a portfolio with a large Sharpe ratio has certain characteristics: the funds it contains always include a fund with a negative Sharpe ratio, a fund with the largest Sharpe ratio among nine funds and a risk-free asset and their weight floats only within a certain range. This method can facilitate investors’ selection process because they could easily find an optimal portfolio by comparing the Sharpe ratio of each single fund.
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Cite this article
TY - CONF AU - Yuyang Chen AU - Linhua Li AU - Keyu Pan PY - 2022 DA - 2022/03/26 TI - How to Find Optimal Portfolios among Nine Mutual Funds from US BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 2934 EP - 2940 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.478 DO - https://doi.org/10.2991/aebmr.k.220307.478 ID - Chen2022 ER -