Research on portfolio in the US stock
DOI:
https://doi.org/10.54097/tm72qg20Keywords:
Sharp ratio; us stock; portfolio；Monte Carlo simulationAbstract
Due to the global recession caused by the effects of pandemics, the Russia-Ukraine war, and the Fed's interest rate hike, investors are wary of the U.S. stock market. In this paper, we will focus on how to find quality portfolios by using Harry Markowitz's variance portfolio model. Firstly, the data is retrieved to see the return distribution of each stock in this article four stocks are used which are Amazon (AMZN), Apple (AAPL), Microsoft (MSFT) and Tesla (TSLA), the expected return and standard deviation of the portfolio are modelled using the Monte Carlo model, and finally Scipy is used to solve for the minimum variance frontier and the most assets portfolio to obtain the optimal asset portfolio return case, the global minimum variance portfolio point, and finally bring it into the CML market for display, the chart can clearly observe the most assets portfolio and the distribution of the asset portfolio, which plays a key role in the later market practice of the investor.
Downloads
References
Shalett, Lisa. 3 Reasons to Remain Cautious on U.S. Stocks. Morgan Stanley, Retrieved from: www.morganstanley.com/ideas/stock-market-rally-2023-reasons-for-caution. Accessed 12 July 2023.
Duggan, Wayne. September 2023 Stock Market Forecast. Forbes, Forbes Magazine, Retrieved from: www.forbes.com/advisor/investing/stock-market-outlook-and-forecast/. Accessed 2 Sept. 2023.
Silverblatt, Howard. U.S. Equities Market Attributes July 2023. S&P Dow Jones Indices, Retrieved from: www.spglobal.com/spdji/en/commentary/article/us-equities-market-attributes/. Accessed 2 Aug. 2023,
Mazraeh, Nasrin Bagheri et al. Stock Portfolio Optimization Using a Combined Approach of Multi Objective Grey Wolf Optimizer and Machine Learning Preselection Methods. Computational intelligence and neuroscience. 2022, 5974842.
Guo, Qi. Review of research on Markowitz model in portfolios. Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022), 2022, https://doi.org/10.2991/aebmr.k.220405.131.
Kalayci, Can.B. A Comprehensive Review of Deterministic Models and Applications for Mean-Variance Portfolio Optimization. Expert Systems with Applications, Pergamon, 7 Feb. 2019. Retrieved from:www.sciencedirect.com/science/article/abs/pii/S0957417419301162. Accessed 2 Sept. 2023.
Taddeo, Vincenzo. THE DIFFERENCE BETWEEN THE SHARPE RATIO (‘SR’) AND THE SMART SHARPE RATIO.” AlternativeSoft News - The Difference between the Sharpe Ratio (“SR”) and the Smart Sharpe Ratio, May 2021, Retrieved from: www.alternativesoft.com/the-difference-between-the-Sharpe-ratio-and-the-Smart-Sharpe-Ratio.html. Accessed 2 Sept. 2023.
Kenton, Will. Monte Carlo Simulation: History, How It Works, and 4 Key Steps. Investopedia, Investopedia, 26 Mar. 2023, Retrieved from: www.investopedia.com/terms/m/montecarlosimulation.asp. Accessed 2 Sept. 2023.
Agarwal, Kushal. The Monte Carlo Simulation: Understanding the Basics. Investopedia, Investopedia, 19 June 2023, Retrieved from: www.investopedia.com/articles/investing/112514/monte-carlo-simulation-basics.asp. Accessed 2 Sept. 2023.
Lutkevich, Ben. What Is a Monte Carlo Simulation? Cloud Computing, TechTarget, 31 Mar. 2023, Retrieved from: www.techtarget.com/searchcloudcomputing/definition/Monte-Carlo-simulation. Accessed 2 Sept. 2023.
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
