Abstract
Based on Markowitz Mean-Variance model, the paper uses the data of twelve stocks in the U.S. market from January 2017 to January 2021 to construct optimal portfolios and efficient frontier. This paper first calculates the standard deviation and the optimal stock weights of the portfolio under the given expected returns, and then draws the efficient frontier and the capital market line. The tangent point of the efficient frontier and the capital market line is the optimal portfolio of all-risk assets, while the capital market line indicates the appropriate ratio of assets when allocating to both risk-free and risky assets, which is a guide for investors of all risk appetites.
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Chen, Z. (2023). A Study of Asset Allocation Based on the Markowitz Model. In: Dang, C.T., Cifuentes-Faura, J., Li, X. (eds) Proceedings of the 2nd International Conference on Business and Policy Studies. CONF-BPS 2023. Applied Economics and Policy Studies. Springer, Singapore. https://doi.org/10.1007/978-981-99-6441-3_19
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DOI: https://doi.org/10.1007/978-981-99-6441-3_19
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