Empirical analysis in effective portfolio allocation through Markowitz and index models

Abstract

This study uses the Markowitz and index portfolio optimization models to analyze ten stocks’ returns in the past 20 years. Under the Markowitz and index models, we identify suitable input, such as returns and standard deviation. To optimize the inputs of the two models, we identify three realistic additional constraints and export-related forms. We compare the two models under the same constraint and then draw conclusions based on the differences.