Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)

<Previous Article In Volume
Next Article In Volume>

Research on Portfolio Optimization Based on Markowitz Model and Single Index Model

Authors
Yufei Jin1, *
1The University of New South Wales, Sydney, NSW, 2052, Australia
*Corresponding author. Email: z5463100@zmail.unsw.edu.au
Corresponding Author
Yufei Jin
Available Online 3 July 2025.
DOI
10.2991/978-94-6463-748-9_18How to use a DOI?
Keywords
Investment Portfolio; Markowitz Model; Single Index Model
Abstract

With the development of the economy, more and more retail investors participate in the stock market. The research aim of this study is to advise ordinary retail investors on how to build portfolios using Markowitz model and the single index model. The data used are the stock prices of 22 risky assets including SPX500 from 2004 to 2024, the stocks come from four different industries and are randomly selected from the S&P 500. This study calculates the global minimum variance portfolios and the optimal portfolios under 5 constraints using Markowitz model and single index model respectively and compares their performance. Based on the research, the performance of portfolios constructed by the two models was not much different under the 5 constraints. In most cases, the portfolios constructed by the Markowitz model performed better. In addition, if retail investors want to minimize the risk of their portfolios, it is best to include a stock market index in the portfolios. If retail investors want to make the Sharpe ratio of the investment portfolios as large as possible, they should not limit the overall range of arbitrage and leverage of portfolios.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

<Previous Article In Volume
Next Article In Volume>
Volume Title
Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
3 July 2025
ISBN
978-94-6463-748-9
ISSN
2352-5428
DOI
10.2991/978-94-6463-748-9_18How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yufei Jin
PY  - 2025
DA  - 2025/07/03
TI  - Research on Portfolio Optimization Based on Markowitz Model and Single Index Model
BT  - Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)
PB  - Atlantis Press
SP  - 150
EP  - 162
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-748-9_18
DO  - 10.2991/978-94-6463-748-9_18
ID  - Jin2025
ER  -