Author(s)

Tianjian Zhu

Corresponding Author

Tianjian Zhu

ABSTRACT

The construction of portfolios is crucial to attaining stable returns in finance. This experiment will construct portfolios using 20 years of historical price data from well-known firms in industries across the financial market, an equity index, and a proxy for the risk-free rate. This research paper will use the Index Model to establish optimization inputs for calculating portfolios while considering existing regulations and risk aversion. Optimization results of the portfolios will be represented in data and graphical forms and discussed in greater detail. The experiment will then analyze the optimization performance in each situation and obtain the patterns retained for future studies.

KEYWORDS

Index model, portfolio optimization, return, and risk