Portfolio Optimization for Several Industries among the U.S. Stock Market

Optimizing portfolio has been a popular topic since it was proposed because can reduce the investment risk. This study selected five active stocks from different industries, including Online E-Commerce, Commercial Banks, Motor Vehicles, Mobile Communication Production, and Telecommunications. Then they were allocated into kinds of portfolios, which are tangency portfolios minimum variance under Capital Asset Pricing Model Fama-French three-factor Model, as well 1/N portfolio. The results found that ‘BAC’ ‘T’ have largest weight lowest respectively in two models. comparison showed with highest cumulative return is FF3F also performed well. Only these outperformed SPDR S&P 500EFT Trust. research may help investors focused on sectors mentioned above to better idea how allocate their capital.