Author(s)

Bijun Zhao

Corresponding Author

Bijun Zhao

ABSTRACT

Modern investors have a large range of investment opportunities and investment choices and among them, stocks are very important investment securities. Though having these changes, a lot of investors don’t grasp enough investment tools and knowledge to enable them to make reasonable decisions. They are facing a daunting challenge when attempting to determine how to efficiently optimize their portfolios. In this paper, I use the Single Index model which is developed by excel, to analyze 10 popular stocks in America and find the optimal portfolios and minimal risk portfolios under five different constraints. These five constraints are developed to simulate distinct situations in reality in order to make it closer to reality and make our research result more empirical. The article attempts to present a practical solution to the strategic asset allocation problem that investors face and try our best to help investors to make the most sensible choice attaining return and eliminating risk under different situations.

KEYWORDS

Investment portfolio, risk, and return, Single Index model, optimal portfolio, minimal risk portfolio, constraint