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

An Empirical Portfolio Study Based on Markowitz Theory

Authors
Yilin Liu
Macau University of Science and Technology
*Corresponding author. Email: 1809853gb011035@student.must.edu.mo
Corresponding Author
Yilin Liu
Available Online 26 March 2022.
DOI
10.2991/aebmr.k.220307.063How to use a DOI?
Keywords
Markowitz mode; Rstudio; Sharpe ratio; Optimal portfolio
Abstract

With the further improvement of the financial system and the arrival of the era of big data, the application of new technologies in the financial field is deepening. Based on Markowitz portfolio theory, this paper using “Mean – Variance Model” select three funds and T-bills as risk-free rate in the market for portfolio investment analysis. Through empirical analysis, we obtain the optimal portfolio with the largest Sharpe ratio and the optimal portfolio with the smallest variance and conduct comparative analysis on their expected return rate, standard deviation and Sharpe ratio. The obtained results further explain that Markowitz theory plays an important role in selecting optimal portfolio in financial risk management. At the same time, this paper lays a foundation for the practice and development of R software in the field of financial analysis.

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
10.2991/aebmr.k.220307.063
ISSN
2352-5428
DOI
10.2991/aebmr.k.220307.063How 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  - Yilin Liu
PY  - 2022
DA  - 2022/03/26
TI  - An Empirical Portfolio Study Based on Markowitz Theory
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 397
EP  - 404
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.063
DO  - 10.2991/aebmr.k.220307.063
ID  - Liu2022
ER  -