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An Empirical Study of the Markowitz Mean-Variance Model on the Nasdaq Stock Market
- 1 The First High School of Changsha,No.81 Qingshuitang Road, Kaifu District,Hunan,China
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Abstract
In the vast global investment market, balancing risk and return is a pressing issue for investors. A significant part is played by the Markowitz model, which provides investors with a means of calculating risk and return. This paper focuses on analyzing portfolios using the Markowitz mean-variance model by applying empirical daily stock data from 11 different companies (AAL, NYA, IXIC, HSI, GDAX, KS11, SSMI, SBUX, KDP, NSRGY, and SJM) over the period from January 2014 to April 2014. The study also optimizes investments by screening for short-selling opportunities. NYA, IXIC, HSIA, and SJM were the four stocks that were eliminated following four rounds of computation. As a result, the paper identifies the optimal portfolio strategy and concludes that KS11 stocks exhibit the best behavior. The Markowitz model allows investors to efficiently evaluate risk and return while increasing their income. In actual circumstances, the Markowitz model is quite useful and practical.
Keywords
Markowitz Mean-Variance Model, Portfolio Theory, Nasdaq Stock Market, Short-Selling Strategy
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Cite this article
Hu,Z. (2024). An Empirical Study of the Markowitz Mean-Variance Model on the Nasdaq Stock Market. Advances in Economics, Management and Political Sciences,126,51-55.
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The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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Volume title: Proceedings of the 8th International Conference on Economic Management and Green Development
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