Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)

Study of Portfolio Performance Under Certain Restraint Comparison: Markowitz Model and Single Index Model on S&P 500

Authors
Zi’ang Zhang1, *
1Faculty of Science, Chang’an University, Xi’an City, 710000, China
*Corresponding author. Email: 2019902877@chd.edu.cn
Corresponding Author
Zi’ang Zhang
Available Online 29 April 2022.
DOI
10.2991/aebmr.k.220405.323How to use a DOI?
Keywords
Markowitz Model; Single Index Model; Optimal portfolio; Minimal risk portfolio
Abstract

The purpose of this study is to figure out what percentage of each stock should be in the optimal portfolio and minimal risk portfolio created by Markowitz Model and Sharpe’s Single Index Model and to make a comparison of the portfolio model, as well as the return and risk differences between Markowitz Model and Single Index Model. The research is undertaken at the New York Stock Exchange on ten stocks which are from the S& P 500 index for the period May 2001 to May 2021, The data analysis technique is constrained optimization and regression analysis. The results show that the Single Index Model needs fewer estimators than Markowitz Model and simplifies the actual operation. But for some assets with the correlated residual return, the Markowitz model performs better than the Single Index Model. The optimal portfolio constructed with the Single Index Model has a higher return and risk than the optimal portfolio constructed with Markowitz Model. But for the minimal risk portfolio, the portfolio based on Markowitz Model performs better. And the portfolio including Stock Index has lower systemic risk.

Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license.

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Volume Title
Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
29 April 2022
ISBN
10.2991/aebmr.k.220405.323
ISSN
2352-5428
DOI
10.2991/aebmr.k.220405.323How to use a DOI?
Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license.

Cite this article

TY  - CONF
AU  - Zi’ang Zhang
PY  - 2022
DA  - 2022/04/29
TI  - Study of Portfolio Performance Under Certain Restraint Comparison: Markowitz Model and Single Index Model on S&P 500
BT  - Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
PB  - Atlantis Press
SP  - 1930
EP  - 1938
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220405.323
DO  - 10.2991/aebmr.k.220405.323
ID  - Zhang2022
ER  -