Portfolio Optimization Analysis with Markowitz and Index Models in Capital Markets
DOI:
https://doi.org/10.61173/8m68kz98Keywords:
Markowitz Model, Index Model, Portfolio OptimizationAbstract
This project examines the outcomes of portfolio optimization using the Markowitz Model and the Index Model, applied to more than 20 years of historical data from ten prominent U.S. stocks and one broad equity index. The S&P 500 index serves as the benchmark equity index, while the one-month Fed Funds rate is utilized as the proxy for the risk-free rate.
References
Sharpe W F (1963). A simplified model for portfolio analysis [J]. Management science, 9(2), 277-293.
Markowitz H M (1952). Portfolio selection [J]. Journal of finance, 7(1), 71-91.
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