Research on Capital Allocation Based on Markowitz Model
DOI:
https://doi.org/10.54691/bcpbm.v35i.3355Keywords:
Return on capital; Markowitz portfolio model; Maximization of benefit.Abstract
This paper mainly uses Markowitz asset portfolio model to demonstrate the impact of different market rules (allowing and not allowing short selling) on investment returns and risks, and gives investment suggestions through this model, and judges the difference of returns and risks under different market conditions. In 10 companies known four industry under the premise of nearly 20 years of stock data, using data on behalf of the medium and long term monthly data and Excel Solver econometric analysis tools, respectively obtained the "short" are allowed and "empty" is not permitted in both cases the optimal portfolio and the minimum risk portfolio of a single investment subject matter weight and their earnings; Risk and Sharpe ratio. In both cases, the efficient frontier of the portfolio can be plotted and compared in conjunction with the optimal asset allocation line. Finally, through the comparative analysis of income and risk, some investment suggestions are given. It also analyzes the influence of market rules on investors' returns and risks.
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