Portfolio Optimization
Aizhan Issagali, Damira Alshimbayeva, Aidana Zhalgas
TL;DR
This paper applies portfolio optimization techniques to select optimal investment portfolios from stock indices of Microsoft, Dior, and Shevron, analyzing various strategies like minimum variance and tangency portfolios.
Contribution
It introduces a practical application of portfolio optimization methods to real stock data, including calculations of different optimal portfolios based on the efficient frontier.
Findings
Identified optimal asset allocations on the efficient frontier.
Constructed minimum variance, tangency, and Markowitz portfolios.
Demonstrated the application of optimization techniques to real stock data.
Abstract
In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a portfolio is chosen on the efficient frontier were calculated. In addition, the Portfolio with minimum variance, tangency portfolio and optimal Markowitz portfolio are presented.
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Taxonomy
TopicsRisk and Portfolio Optimization · Reservoir Engineering and Simulation Methods · Financial Markets and Investment Strategies