Assets Portfolio Analysis of the Firefighter Case

Bohua Miao ()
Additional contact information
Bohua Miao: Wuhan University, School of Computer Science

A chapter in Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), 2022, pp 279-288 from Springer

Abstract: Abstract Portfolio optimization has a pretty significant position in the financial field. The purpose of this paper is to make the portfolio decision and the asset allocation by using four stocks and a firefighter’s pension that can be viewed as a long-term bond. First this paper aims to do the allocation analysis for the four fields. Then this paper will also discuss the portfolio decision under two different options with and without pension benefits. The data are collected and calculated by using the mean-variance analysis to get the performance of the portfolio. At last, by using the Fama-French three-factor model, the expected returns and Sharpe Ratio are calculated and then do the regression to determine which option is better. The results and the analysis show that, the Fama-French three factor can be more reasonable to do the calculation in the two options, and the ‘GOOGL’ has the largest proportion in the four stocks. Moreover, even though the portfolio expected return of the option without pension is higher, the Sharpe Ratio of the option with pension is higher, which means it is a better choice. These findings might be helpful to the investors related to the similar conditions.

Keywords: Fama-French three factor model; Pension; Portfolio management (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-052-7_32

Ordering information: This item can be ordered from
http://www.springer.com/9789464630527

DOI: 10.2991/978-94-6463-052-7_32

Access Statistics for this chapter

More chapters in Advances in Economics, Business and Management Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().