Research Article
The Portfolio Construction During COVID-19 Pandemics Based on Markowitz Models and Index Models
@INPROCEEDINGS{10.4108/eai.28-10-2022.2328428, author={Xinsong Fan and Jiahao Wang and Keming Yi and Lijia Zhou}, title={The Portfolio Construction During COVID-19 Pandemics Based on Markowitz Models and Index Models}, proceedings={Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China}, publisher={EAI}, proceedings_a={FFIT}, year={2023}, month={4}, keywords={covid-19; economic loss; markowitz models and index model; data analysis}, doi={10.4108/eai.28-10-2022.2328428} }- Xinsong Fan
Jiahao Wang
Keming Yi
Lijia Zhou
Year: 2023
The Portfolio Construction During COVID-19 Pandemics Based on Markowitz Models and Index Models
FFIT
EAI
DOI: 10.4108/eai.28-10-2022.2328428
Abstract
Contemporarily, COVID-19 has a huge impact on every aspect of life, especially business and finance. It penetrates so deeply that corporates lost a significant amount of their income. To investigate the impact on the financial market, we collected twenty-year data from 10 famous tickers to investigate the performances of the portfolio based on different construction models. On account of exploring the impact of COVID-19 on industries to what extent, we compared the trend during the specific time period and the previous data and found the most optimized point based on Markowitz Model and Index Models. According to the results, small industries experienced a more negative impact from the covid-19 than the larger corporates. These results shed light on the portfolio design to optimize the investments decision.