Portfolio Based on AR Model Using 5 Stocks
DOI:
https://doi.org/10.54097/hbem.v21i.14847Keywords:
Mean-variance model; AR model; SP500.Abstract
An investment portfolio is a collection of stocks, bonds, and financial derivatives held by investors or financial institutions, aimed at diversifying risks and maximizing returns. This article selects stocks of Manulife, BOA, Apple, PLC, and National Pharmaceutical Group from October 21, 2022 to August 9, 2023. This article uses AR model, minimum variance model, and maximum Sharpe's ratio model to predict stock prices, and establishes investment portfolios based on the predicted values. Firstly, based on the first 75% of the data, this article predicts the last 25% of the data. Secondly, based on the prediction, the minimum variance model and the maximum Sharpe ratio model are applied and compared with SP500 within the same time frame. However, the results indicate that the SP500 index performs best in terms of yield. This study suggests that purchasing market index funds is an important investment decision for investors during the volatile US dollar interest rate hike cycle.
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