Abstract
Select 59 concept stocks in the chip industry for quantitative analysis, use principal component analysis method and k-means clustering to process our financial indicators; use historical simulation method, variance-covariance method and Monte Carlo simulation method to calculate the VaR value of each stock for effective risk management. Based on Markowitz theory, the effective frontier of five stocks is constructed, combined with the utility of investors in different risk aversion levels, the best portfolio is selected to obtain the best portfolio of concept stocks in the chip field, using the Sharp ratio and CV ratio for performance evaluation, and the corresponding investment suggestions are given.
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