Analyzing Optimal Portfolios of Eleven Assets under Different Constraints
Portfolios, which allocate investor capital to different investments, are a common risk management strategy. It aims to spread investment risk using diversification. The purpose of this paper is to allocate assets to stocks in the technology sector, consumer sector, and pharmaceutical sector. Stocks...
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| Language: | English |
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EDP Sciences
2024-01-01
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| Series: | SHS Web of Conferences |
| Online Access: | https://www.shs-conferences.org/articles/shsconf/pdf/2024/28/shsconf_dsm2024_01027.pdf |
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| _version_ | 1846125650507726848 |
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| author | Li Xinyuan |
| author_facet | Li Xinyuan |
| author_sort | Li Xinyuan |
| collection | DOAJ |
| description | Portfolios, which allocate investor capital to different investments, are a common risk management strategy. It aims to spread investment risk using diversification. The purpose of this paper is to allocate assets to stocks in the technology sector, consumer sector, and pharmaceutical sector. Stocks of SPX500 and ten companies are selected, and the Yahoo Finance database in Python is utilized to export the historical data, and the knowledge of statistics is applied to calculate the basic values of the stocks. For example, data such as annualized average return, annualized standard deviation, and alpha. These data are utilized to obtain the correlation coefficients between eleven assets and to plot the Capital Allocation Line (hereinafter referred to as CAL), efficient frontier and inefficient frontier images under different constraints. The results show that PG’s asset share is the highest among the five different constraints, both in the minimum variance case and in the maximum Sharpe ratio case. After imposing constraints, the portfolio’s return at the same risk decreases. |
| format | Article |
| id | doaj-art-e01f169d50b042ad8fdac365f15532c4 |
| institution | Kabale University |
| issn | 2261-2424 |
| language | English |
| publishDate | 2024-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | SHS Web of Conferences |
| spelling | doaj-art-e01f169d50b042ad8fdac365f15532c42024-12-13T10:11:01ZengEDP SciencesSHS Web of Conferences2261-24242024-01-012080102710.1051/shsconf/202420801027shsconf_dsm2024_01027Analyzing Optimal Portfolios of Eleven Assets under Different ConstraintsLi Xinyuan0Faculty of Art and Science, Queens UniversityPortfolios, which allocate investor capital to different investments, are a common risk management strategy. It aims to spread investment risk using diversification. The purpose of this paper is to allocate assets to stocks in the technology sector, consumer sector, and pharmaceutical sector. Stocks of SPX500 and ten companies are selected, and the Yahoo Finance database in Python is utilized to export the historical data, and the knowledge of statistics is applied to calculate the basic values of the stocks. For example, data such as annualized average return, annualized standard deviation, and alpha. These data are utilized to obtain the correlation coefficients between eleven assets and to plot the Capital Allocation Line (hereinafter referred to as CAL), efficient frontier and inefficient frontier images under different constraints. The results show that PG’s asset share is the highest among the five different constraints, both in the minimum variance case and in the maximum Sharpe ratio case. After imposing constraints, the portfolio’s return at the same risk decreases.https://www.shs-conferences.org/articles/shsconf/pdf/2024/28/shsconf_dsm2024_01027.pdf |
| spellingShingle | Li Xinyuan Analyzing Optimal Portfolios of Eleven Assets under Different Constraints SHS Web of Conferences |
| title | Analyzing Optimal Portfolios of Eleven Assets under Different Constraints |
| title_full | Analyzing Optimal Portfolios of Eleven Assets under Different Constraints |
| title_fullStr | Analyzing Optimal Portfolios of Eleven Assets under Different Constraints |
| title_full_unstemmed | Analyzing Optimal Portfolios of Eleven Assets under Different Constraints |
| title_short | Analyzing Optimal Portfolios of Eleven Assets under Different Constraints |
| title_sort | analyzing optimal portfolios of eleven assets under different constraints |
| url | https://www.shs-conferences.org/articles/shsconf/pdf/2024/28/shsconf_dsm2024_01027.pdf |
| work_keys_str_mv | AT lixinyuan analyzingoptimalportfoliosofelevenassetsunderdifferentconstraints |