Abstract
This paper examines two widely used portfolio optimization models: the Markowitz Model (MM) and the Index Model (IM). We collected and processed historical data on ten stocks for 2001-2021 that included four different sectors, one P500 stock index, and a proxy for a risk-free rate (1-month Fed Funds rate). By computing all properly optimized inputs for the full Markowitz and index models, we find the regions allowing the portfolio under five additional realistic constraints. The study shows that the minimum variance combination and the maximum Sharp ratio are better than the Index Model. In addition, this paper further complements the empirical research of two models and provides some valuable investment suggestions for building the portfolio.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
