Portfolio Optimization of Ten Assets in US Stock Market
DOI:
https://doi.org/10.54097/hbem.v5i.5081Keywords:
Portfolio Optimization, Sharpe Ratio, US Stock.Abstract
Recent years, the Covid-19 epidemic, Russia-Ukraine war and the raising of interest rate in US led to a significant fluctuate in the U.S. stock market, which then led investors to focus more on portfolio optimization to reduce their invest risk, and this paper selected ten U.S. stocks with high market capitalization in several different industries. All five strategies, AR (1) and AR (2), Cross- Sectional, LASSO reg, GBDT, KNN(Correlation) and (Cosine) in this paper produced different return rate, volatility and sharpe ration with different portfolio. The result shows that assets in different industries are more likely to be collect in the portfolio than assets in same or similar industry. This paper compared their results, returns and their sharpe ratio with two most important index in the U.S. stock market, IXIC, SPX. and found the relative more effective portfolio optimization method. The results in this paper benefit the related investors in financial markets.
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