Novel Portfolio Construction Based on Stocks, Traditional Stock Indices, Futures and Cryptocurrencies

Chang Su

2024

Abstract

As emerging assets continue to develop, they are increasingly integrated into traditional portfolio construction. Given that these new asset classes often exhibit low correlation with traditional assets, their inclusion can enhance overall portfolio performance. This study, based on Markowitz's mean-variance theory, utilizes five years of historical data to construct a portfolio consisting of six assets, including stocks, traditional stock indices, futures, and cryptocurrencies. Two objective functions are applied: maximum the Sharpee ratio and minimum variance. According to the analysis, the results demonstrate that the portfolio optimized for the maximum Sharpee ratio achieves the highest returns, while the portfolio optimized for minimum variance shows better stability. By comparing asset weights and cumulative net value chart, the effectiveness of these objective functions in portfolio optimization is validated. This research contributes to the literature by illustrating how Modern Portfolio Theory (MPT) can be used to combine traditional and new asset classes to meet diverse investment objectives.

Paper Citation

in Harvard Style

Su C. (2024). Novel Portfolio Construction Based on Stocks, Traditional Stock Indices, Futures and Cryptocurrencies. In Proceedings of the 1st International Conference on E-commerce and Artificial Intelligence - Volume 1: ECAI; ISBN 978-989-758-726-9, SciTePress, pages 175-180. DOI: 10.5220/0013208700004568

in Bibtex Style

@conference{ecai24,
author={Chang Su},
title={Novel Portfolio Construction Based on Stocks, Traditional Stock Indices, Futures and Cryptocurrencies},
booktitle={Proceedings of the 1st International Conference on E-commerce and Artificial Intelligence - Volume 1: ECAI},
year={2024},
pages={175-180},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0013208700004568},
isbn={978-989-758-726-9},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on E-commerce and Artificial Intelligence - Volume 1: ECAI
TI - Novel Portfolio Construction Based on Stocks, Traditional Stock Indices, Futures and Cryptocurrencies
SN - 978-989-758-726-9
AU - Su C.
PY - 2024
SP - 175
EP - 180
DO - 10.5220/0013208700004568
PB - SciTePress