Abstract
This paper will use stocks in Hang Seng Index to figure out the construction of portfolios. In addition, Fama experiment would be used to eliminate the idiosyncratic risk and R language would be regarded as the tool to do onerous computation. And 9 stocks randomly selected plus one risk-free asset would be entailed to construct portfolios, and finally all the stocks without missing values would be entailed. This paper may shed light on investing combination of stocks of Hang Seng index or some others about how to assign the weight proportion to reach different purposes.
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