An Empirical Study on Markowitz and Single Index Model

DOI

10.2991/aebmr.k.220307.461How to use a DOI?

Keywords

Markowitz Model; Index Model; Optimal Portfolio

Abstract

In this paper, the Markowitz Model and the Single-Index Model were used to study U.S. stocks. Four industries of U.S. stocks were selected to empirically analyze the data from 2002 to 2021, and the combination selection results given by the two models under five restrictions were compared. The results turned out that with all five constraints, the Sharpe ratio of the optimal portfolio provided by the Index Model, 1.432, 1.523, 1.597, 1.279, 1.333, respectively, was higher than that by the Markowitz Model,1.416, 1.503, 1.540, 1.256, 1.329, respectively, which showed that although both models can give investors investment suggestions for portfolio selection, the single-index model performs better.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Junqing Wu
PY  - 2022
DA  - 2022/03/26
TI  - An Empirical Study on Markowitz and Single Index Model
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 2845
EP  - 2850
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.461
DO  - 10.2991/aebmr.k.220307.461
ID  - Wu2022
ER  -