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Portfolio Analysis of Various Financial Assets
- 1 School of Finance, Dongbei University of Finance and Economics, Dalian, 116021, China
* Author to whom correspondence should be addressed.
Abstract
Utilizing Monte Carlo Simulation and annualized data, this paper investigates portfolio establishment with currency, comparing the performance of the portfolio with the performance of equity. Specially, we choose S&P 500 to represent equity, while choosing Gold futures, Bitcoin, and CHF to represent different types of currency. Firstly we use Python to help us do the initial simulation of one million portfolios, analyzing the result of the simulation based on sharp ratio with Excel. We find that there are some regular patterns in the asset allocation of the portfolio and explain the appearance of the strange angle in our simulation. Then to increase the market shares of currency, we advocate adding an extra yield to the currency's annualized return and doing another two simulations on the four assets with a new annual rate of return. We then compare the results of new simulations with the performance of the initial simulation and S&P 500, finding that with extra yield it will be more easier for the portfolio including currency and equity to perform better than initial portfolios. We also find that the regular pattern of asset allocation which is discovered from the initial simulation is inapplicable in new simulations.
Keywords
currency, portfolio analysis, extra yield, portfolio construction
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Cite this article
Shi,H. (2023). Portfolio Analysis of Various Financial Assets. Advances in Economics, Management and Political Sciences,53,1-8.
Data availability
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 2nd International Conference on Financial Technology and Business Analysis
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