Application of Mean-Variance Model in the U.S. Capital Market-Reference-Cited by-同舟云学术

Application of Mean-Variance Model in the U.S. Capital Market

Published:2023-03-02 Issue: Volume:38 Page:1234-1238
ISSN:2692-6156
Container-title:BCP Business & Management
language:
Short-container-title:BCPBM

Author:

Luo Qinyuan

Abstract

Portfolio in stock market is an asset that people buy in the hopes of a return or appreciation, or both. Portfolio investment is not active, unlike direct investment, which means managing it by alone. A portfolio can help people spread risk and decrease risk, because it can minimize the negative impact of the economy. This paper analyzes asset allocation for four different companies. In this paper, three methods of mean-variance analysis, CAPM and FF3F model are used to optimize the portfolio. In addition, this paper will calculate different weights to analyze the maximum return of the portfolio. The results show that in the FF3F model. In the Sharpe ratio portfolio, "POAHY" is the security with the most weight. The portfolio with the highest Sharpe ratio weight in CAPM model is "POAHY". The outcome in this paper benefits the related investors in financial markets.

Publisher

Boya Century Publishing

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