Novel Portfolio Designs Based on Markowitz Portfolio Theory and Various Assets

Robert Runze Hao

2024

Abstract

Portfolio is crucial for hedge the risks in contemporary assets management. This paper explores the application of MPT in constructing and analysing portfolios using the top 10 U.S. companies from the Fortune 500. The study delves into the historical development and contemporary relevance of portfolio optimization, building on foundational theories such as the CAPM (Capital Asset Pricing Model). Utilizing data sourced from Yahoo Finance, the study applies advanced optimization techniques, including Global Minimum Variance and Mean-Semivariance Optimization, to build the Efficient Frontier and evaluate portfolio performance. The results indicate that the choice of optimization method significantly impacts portfolio outcomes, with the Global Minimum Variance approach offering more stable returns, while the Mean-Semivariance approach provides higher potential returns at the cost of increased volatility. The study's findings underscore the significance of diversification and tailored risk management in modern investment strategies. Nonetheless, the study recognizes constraints, including dependence on historical data and model assumptions, suggesting avenues for future research in incorporating alternative risk measures and exploring different economic environments. These results contribute to the field by providing both theoretical insights and practical guidance for optimizing portfolios in today's dynamic financial markets.

Paper Citation

in Harvard Style

Hao R. (2024). Novel Portfolio Designs Based on Markowitz Portfolio Theory and Various Assets. In Proceedings of the 1st International Conference on E-commerce and Artificial Intelligence - Volume 1: ECAI; ISBN 978-989-758-726-9, SciTePress, pages 504-509. DOI: 10.5220/0013269500004568

in Bibtex Style

@conference{ecai24,
author={Robert Hao},
title={Novel Portfolio Designs Based on Markowitz Portfolio Theory and Various Assets},
booktitle={Proceedings of the 1st International Conference on E-commerce and Artificial Intelligence - Volume 1: ECAI},
year={2024},
pages={504-509},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0013269500004568},
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 Designs Based on Markowitz Portfolio Theory and Various Assets
SN - 978-989-758-726-9
AU - Hao R.
PY - 2024
SP - 504
EP - 509
DO - 10.5220/0013269500004568
PB - SciTePress