Application of mean-variance modal in four industries

Abstract

Portfolio optimization is highly valued and used by many people in the financial field. This paper analyzes the asset portfolio allocation of different industries, namely, transportation industry, software industry, semiconductor industry, and insurance industry. This paper selected four representative assets from these four industries, and then used the mean-variance combination model to analyze asset allocation and forecast the return on investment. In order to find the optimal proportion of investment portfolio in these four industries. The results show that "MMC" has the largest weight proportion in the combination of least squares and the maximum Sharpe ratio combination's "MSFT" weight percentage is the highest, while "UPS" has the smallest weight proportion in the combination of least squares and maximum Sharpe ratio. Therefore, in these four industries, the mean-variance model predicts that the insurance industry and software industry can get the maximum rate of return, while the cosmetics and nursing industry cannot get the maximum rate of return.