Portfolio Optimization among Luxury Goods, New Energy, Web 3.0 Industries and Gold

Abstract

This paper aims to discuss optimal portfolio construction with assets among luxury goods, new energy, web 3.0, and gold industries, with the hope of providing insights into the investigation of the relationships between those industries and their feasibility in the process of portfolio optimization. Based on accessible data from Yahoo Finance, this paper first discusses mean-variance analysis with a focus on the return data of the chosen assets, then utilizes Fama-French three factor model to run a portfolio optimization among those assets with core indexes being the maximization of Sharpe Ratio and the minimization of variance. As a result, two portfolios with different weights assigned to each asset are generated and they could be a good indication of the relationships between the discussed industries and their connections under investment scenario, and therefore may provide valuable information to the related financial market investors.