In this project, I implement the Markowitz Portfolio theory with real world data. As a beginning of my analysis, I propose some assumptions related to the market and investors. As for the data, I use 11 industry ETFs in the S&P 500 index as my analysis objects to reflect the market more comprehensively and compare differences among industries. I firstly do the exploratory data analysis including ETFs’ prices, returns and risks from both individual perspective and interacting perspective. Besides, I am especially focused on the distribution of returns. Although returns are not normally distributed as desired, it does not affect the following mean-variance analysis when using quadratic utility function. In section 3, I carry out the mean-variance analysis following the Markowitz Portfolio theory in three steps.
📃 For more details: https://richardsong.live/markowitz-portfolio-theory-implementation