Portfolio Optimization Based on 9 Chinese Stocks
DOI:
https://doi.org/10.54097/xg4n2r26Keywords:
China, China Yangtze Power, Kweichow Moutai, HS300 index.Abstract
Geopolitical conflicts and the impact of the pandemic have triggered volatility and downward trends in the Chinese stock market, prompting investors to pay more attention to stabilizing returns and controlling risks through optimizing portfolios. This study selected nine stocks listed on the Shenzhen and Shanghai Stock Exchanges in China and first identified the efficient frontier composed of these nine stocks, then constructed portfolios with maximum Sharpe ratio and minimum volatility. The results indicate that China Yangtze Power Co., Ltd. holds the highest investment weight in all portfolios, followed by Kweichow Moutai Co., Ltd. which also holds significant weights in both portfolio types. By comparing the cumulative returns of the two portfolios with the HS300 index, it was found that the performance of all portfolios outperformed the benchmark index. This result can provide guidance for some investors in managing investments during this particular period of market downturn.
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