Abstract:This report examines the asset allocation analysis of a portfolio in the context of assets across multiple sectors. Due to the volatile global economic situation and the significant inter-industry effects, allocating and combining assets across different sectors is essential. This research use the capital asset pricing model (CAPM) and the Fama-French three-factor model to determine, for a portfolio of five sectors, the proportion of investments in each sector at maximum Sharpe ratio and minimal variance. The… Show more
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