Abstract
Portfolio is one of the most critical factors in the investment process, which can effectively reduce investment risk, improve investment return, and achieve more diversified investment strategies according to the different needs and goals of investors. This paper focuses on Chinese stock market and selects five active stocks on the Main Board from Shanghai Stock Exchange. Closing prices from August 1,2022 to December 31,2022 of each stock are obtained from Tushare. Four portfolios are constructed in this paper, of which is equally-weighted, market-value-weighted, minimal risk and maximal Sharpe ratio. Monte Carlo simulation is constructed to obtain combinations with minimal risk and maximal Sharpe ratio. After obtaining weights of these tow combinations, it turns out that Sichuan Changhong Electric accounted for the max proportion in minimal risk portfolio while in maximal Sharpe ratio portfolio, China United Communications took up the largest proportion. Finally, according to the overall cumulative return curve, maximal Sharpe ratio portfolio is the optimal portfolio. This paper gives detailed insights of portfolio allocation and selection for investors.
Published Version
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