Research on Portfolio Optimization Based on Markowitz Model and Single Index Model

Yufei Jin ()
Additional contact information
Yufei Jin: The University of New South Wales

A chapter in Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025), 2025, pp 150-162 from Springer

Abstract: Abstract With the development of the economy, more and more retail investors participate in the stock market. The research aim of this study is to advise ordinary retail investors on how to build portfolios using Markowitz model and the single index model. The data used are the stock prices of 22 risky assets including SPX500 from 2004 to 2024, the stocks come from four different industries and are randomly selected from the S&P 500. This study calculates the global minimum variance portfolios and the optimal portfolios under 5 constraints using Markowitz model and single index model respectively and compares their performance. Based on the research, the performance of portfolios constructed by the two models was not much different under the 5 constraints. In most cases, the portfolios constructed by the Markowitz model performed better. In addition, if retail investors want to minimize the risk of their portfolios, it is best to include a stock market index in the portfolios. If retail investors want to make the Sharpe ratio of the investment portfolios as large as possible, they should not limit the overall range of arbitrage and leverage of portfolios.

Keywords: Investment Portfolio; Markowitz Model; Single Index Model (search for similar items in EconPapers)
Date: 2025
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:978-94-6463-748-9_18

Ordering information: This item can be ordered from
http://www.springer.com/9789464637489

DOI: 10.2991/978-94-6463-748-9_18

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 ().