Research Article
Portfolio Investment Analysis Based on Markowitz Mean-variance Model with a Realistic Fund Dataset
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326894, author={Xi Chen and Shiqi Fang and Zixin Shen}, title={Portfolio Investment Analysis Based on Markowitz Mean-variance Model with a Realistic Fund Dataset}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={portfolio management; markowitz mean-variance model; stock market; sharpe ratio; efficient frontier}, doi={10.4108/eai.18-11-2022.2326894} }- Xi Chen
Shiqi Fang
Zixin Shen
Year: 2023
Portfolio Investment Analysis Based on Markowitz Mean-variance Model with a Realistic Fund Dataset
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326894
Abstract
As the financial market is getting increasingly complicated, many investors have confronted the quandary between the investment target and their ability of risk tolerance. To provide investors with insights on portfolio management, this paper is dedicated to boost the return and avoid the risks to the maximum level simultaneously. With 9 separate assets selected, the portfolio which features lower variance, higher expected return, and higher Sharpe Ratio is expected. Throughout the research, normal distribution and independent and identically distributed tests test helped us initially understand the data. With the help of the demonstration of the efficient frontier, we found the best fit portfolios. Corresponding portfolio suggestions have been given, and limitations have also been discussed.