Portfolio Optimization for US. Stock with Mean-variance Model, CAPM, Fama French Three-factor Model
نویسندگان
چکیده
Applying modern investment theories to construct portfolios is a crucial way for investors reduce risks and obtain high returns in the market. This paper selects eight stocks from industries of US stock market constructs portfolio based on their historical return data over past five years. study uses CAPM model Fama French three-factor estimate expected these stocks, then applies mean-variance optimal risky under both expectations. Under model, monthly are BKNG (1.05%), EQR (0.80%), MPC (1.38%), NTDOY (0.64%), ON (1.44%), PFE (0.68%), SBUX (0.86%) FCX (1.60%) respectively. Fama-French three factor (1.21%), (0.90%), (2.06%), (0.55%), (1.82%), (0.60%), (0.82%) (1.96%) The weights obtained by using estimation results (7.97%), (23.72%), (6.02%), (11.61%), (8.24%), (18.66%), (10.61%) (13.16%) weight distribution as follows (3.01%), (27.04%), (33.89%), (2.40%), (15.85%), (4.98%), (0.00%) (12.83%). These can provide reference who willing invest market, which will help them increase returns.
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ژورنال
عنوان ژورنال: BCP business & management
سال: 2022
ISSN: ['2692-6156']
DOI: https://doi.org/10.54691/bcpbm.v35i.3390