Advances in Economics, Management and Political Sciences

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Proceedings of the 2023 International Conference on Management Research and Economic Development

Series Vol. 24 , 13 September 2023


Open Access | Article

Optimized Portfolio Structured by 5 Stock Indexes

Nan Luo * 1
1 Hunan Agricultural University

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 24, 13-19
Published 13 September 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Nan Luo. Optimized Portfolio Structured by 5 Stock Indexes. AEMPS (2023) Vol. 24: 13-19. DOI: 10.54254/2754-1169/24/20230406.

Abstract

Equity market declines fiercely caused by the current liquidity crisis. Investors pay more attention to optimized portfolio in order to reduce losses. 5 representative indexes were chosen from capital market to construct financial portfolios. The sketch of the efficient frontier was plotted, and portfolios with the 1/N, the maximum sharpe ratio and the minimum volatility were acquired based on 10000 scipy optimization calculations, the FTSE100 accounts for the largest section of the portfolio with the maximum sharpe ratio while the SSE Composite Index possesses the biggest shares in the portfolio with minimum volatility. Comparing three portfolio returns of accumulations, it could be observed that the maximum sharpe ratio portfolio’s performance surpassed the 1/N and the minimum variance portfolio, several investors could make reasonable decisions refer to this result in the special tough period.

Keywords

market capitalization, 1/N portfolio, maximum sharpe ratio, minimum variance

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Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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Volume Title
Proceedings of the 2023 International Conference on Management Research and Economic Development
ISBN (Print)
978-1-915371-91-1
ISBN (Online)
978-1-915371-92-8
Published Date
13 September 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/24/20230406
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated