Abstract
This paper investigates financial time series from US stock markets from a quantitative perspective. The returns of all stocks are clustered with K-means with five centroids; in each group, the store with the maximum return is selected. For all five chosen supplies, construct the portfolio with different stock weights and optimize the combination with Monte Carlo to mitigate risk and maximize the Sharpe ratio. Comparing the weights under different stock weights concludes that the optimal portfolio can be obtained with the maximized Sharpe ratio scenario. More interestingly, the consequences based on market value also give remarkable cumulative returns.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
