| Issue |
SHS Web Conf.
Volume 208, 2024
2024 International Workshop on Digital Strategic Management (DSM 2024)
|
|
|---|---|---|
| Article Number | 04011 | |
| Number of page(s) | 10 | |
| Section | Chapter 4: Digital Management Case Studies | |
| DOI | https://doi.org/10.1051/shsconf/202420804011 | |
| Published online | 12 December 2024 | |
The Optimal Analysis of the Markowitz Portfolio Model: A Case Study of the New Energy Vehicle and Automotive Industry
Mathematical Sciences, University of Southampton, Southampton, United Kingdom
* Corresponding author: ky1u21@soton.ac.uk
In the context of global environmental protection and the transition to a low-carbon economy, the new energy vehicle (NEV) industry has experienced rapid growth, with the Chinese market emerging as a key player. This paper selects five domestic NEV stock assets and applies the Markowitz portfolio model to optimize the portfolio weights. By analyzing historical data from August 2020 to August 2023, the optimal portfolio is calculated, and its effectiveness is validated using subsequent data from 257 trading days. The mean-variance model is employed for the calculations, and the optimal portfolio is selected based on the maximization of the Sharpe ratio. The results show that the proposed portfolio achieved a return of 41.1% during the backtesting period, significantly outperforming the equal- weighted portfolio, while also effectively controlling risk. Future research could enhance portfolio flexibility and return potential by incorporating multi-factor models or nonlinear optimization methods.
© The Authors, published by EDP Sciences, 2024
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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