Research on Optimal Portfolio Based on Markowitz Model-Taking the U.S. Stock Market as an Example

School of Finance, Tianjin University of Finance and Economics, Tianjin, China

^* Corresponding author: fengxi@stu.tjufe.edu.cn

Abstract

With the booming development of financial market, financial products are increasing, and the risk is also increasing, leading to the simple pursuit of maximizing returns can no longer meet the needs of investors, so how to choose the appropriate assets to build investment portfolios and weigh their risks and returns to achieve the optimal allocation of assets and maximize the investment returns has become the object of investors’ attention. Markowitz’s portfolio theory is sought after by investors. This paper takes Markowitz mean-variance model as the theoretical framework, on the basis of which the actual data of five stocks and SPX between May 2001 and May 2021 are used, and EXCEL is used to conduct empirical analysis to obtain the weights, minimum standard deviation, and yield curves of each stock, and ultimately the efficient frontier as well as the optimal asset allocation. The research in this paper verifies that Markowitz’s model is still instructive for investors to construct portfolio models in today’s market.