Research Article
Investment Portfolio Establishment Based on Markowitz Model and Highest Sharp Ratio
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326902, author={Xinyu Lin and Xin Xu and Yang Xu}, title={Investment Portfolio Establishment Based on Markowitz Model and Highest Sharp Ratio}, 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={markowitz model; sharpe ratio; optimal portfolio; risk-free assets}, doi={10.4108/eai.18-11-2022.2326902} }- Xinyu Lin
Xin Xu
Yang Xu
Year: 2023
Investment Portfolio Establishment Based on Markowitz Model and Highest Sharp Ratio
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326902
Abstract
Portfolio investment theory is critical to global financial markets. However, the specific actual combination effect is affected by factors such as weight selection and asset selection. Based on the Markowitz model, we use a more reasonable weight selection method to establish an asset portfolio. And we also explore the impact of risk-free assets on risk diversification and magnified returns. We finally use the Sharpe ratio to evaluate the optimal asset portfolio. We found that the use of historical return performance to determine the weight can optimize the portfolio impact. The addition of risk-free assets can diversify risks and increase the rate of return, thereby increasing the Sharpe ratio. Our work is to find a reasonable way to determine the weights and solve the practical problems in using the Markowitz model. This paper provides a better way to use the Markowitz model to find the optimal asset portfolio.
