Advances in Economics, Management and Political Sciences

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Proceedings of the 2nd International Conference on Financial Technology and Business Analysis

Series Vol. 53 , 01 December 2023


Open Access | Article

Portfolio Analysis of Various Financial Assets

Hanqing Shi * 1
1 School of Finance, Dongbei University of Finance and Economics, Dalian, 116021, China

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 53, 1-8
Published 01 December 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 Hanqing Shi. Portfolio Analysis of Various Financial Assets. AEMPS (2023) Vol. 53: 1-8. DOI: 10.54254/2754-1169/53/20230767.

Abstract

Utilizing Monte Carlo Simulation and annualized data, this paper investigates portfolio establishment with currency, comparing the performance of the portfolio with the performance of equity. Specially, we choose S&P 500 to represent equity, while choosing Gold futures, Bitcoin, and CHF to represent different types of currency. Firstly we use Python to help us do the initial simulation of one million portfolios, analyzing the result of the simulation based on sharp ratio with Excel. We find that there are some regular patterns in the asset allocation of the portfolio and explain the appearance of the strange angle in our simulation. Then to increase the market shares of currency, we advocate adding an extra yield to the currency's annualized return and doing another two simulations on the four assets with a new annual rate of return. We then compare the results of new simulations with the performance of the initial simulation and S&P 500, finding that with extra yield it will be more easier for the portfolio including currency and equity to perform better than initial portfolios. We also find that the regular pattern of asset allocation which is discovered from the initial simulation is inapplicable in new simulations.

Keywords

currency, portfolio analysis, extra yield, portfolio construction

References

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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 2nd International Conference on Financial Technology and Business Analysis
ISBN (Print)
978-1-83558-153-7
ISBN (Online)
978-1-83558-154-4
Published Date
01 December 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/53/20230767
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