Abstract
Maximizing returns at a low risk is a popular goal for investors. The Hang Seng Index (HSI) is a significant indicator of Hong Kong stocks, which is made up of 66 stocks traded on the Hong Kong stock market. This study aims to analyze and the find optimum portfolio based on the Hang Seng index. For this purpose, Fama experiment are applied firstly to evaluate the systematic risk and the idiosyncratic risk. But for convenience, three stocks from three different companies, Tencent, BYD and the CITIC are chosen to construct the portfolio. Then R is used in this study to analyze the portfolio. The minimum variance portfolio, Sharpe ratio and the tangency portfolio are all calculated by R then. The results show that the weights of the tangency portfolio are -200% for Tencent, 42% for BYD and 258% for CITIC, which may be helpful to make the investment decision.
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