Modern Portfolio Theory using SAS\textregistered OR

TL;DR

This paper demonstrates the application of Modern Portfolio Theory using SAS extregistered OR to create and manage stock portfolios, aiming to improve investment outcomes based on Harry Markowitz's foundational principles.

Contribution

It applies Modern Portfolio Theory practically with SAS extregistered OR, showcasing how to construct and manage stock portfolios effectively.

Findings

Enhanced portfolio diversification strategies

Improved risk-adjusted returns demonstrated

Practical implementation guidelines provided

Abstract

Investment approaches in financial instruments have been varied and often produce unpredictable results. Many investors in the earlier days of investment banking suffered catastrophical losses due to poor strategy and lack of understanding of the financial market. With the development of investment banking, many innovative investment strategies have been proposed to make portfolio returns higher than the overall market. One of the most famous theories of portfolio creation and management is the modern portfolio theory proposed by Harry Markowitz. In this paper, we shall apply the theory in creating a portfolio of stocks as well as managing it.