Portfolio Optimization for Six Companies in Different Industries

Abstract

Portfolio optimization is an essential step in the process of asset management. Studying portfolio can help people gain greater benefits after investing their assets. This paper makes a subjective analysis of the stocks in the American stock market, and finally selects six stocks from different fields, including health care, finance, public utilities, Internet software and services, non-energy minerals, and industry for portfolio analysis. This paper uses mean-variance analysis, CAPM model and Fama-French model to get the best portfolios, and analyses portfolio performance under different methods. The results show that, in the CAPM model, "GS" gets the largest weight in the maximum Sharpe ratio portfolio and "AWK" gains the largest weights in the minimum variance portfolio. At the same time, in the Fama-French model, "GS" and "AWK" still get the largest weight in the maximum Sharpe ratio portfolio and minimum variance portfolio, respectively. This paper will be helpful to investors who pay attention to the six areas involved in this paper.