Portfolio Analysis with Mean-Variance Model in Chinese Stock Market

Abstract

Portfolio optimization is crucial in the financial sector. The goal of this article is to analyze portfolio allocation in the Chinese stock market. This article's information was taken from Straight Flush. To obtain a greater hedging impact, we choose firms from other sectors in order to lessen the connection between their stocks. The data was analyzed using the Efficient Frontier, Modern Portfolio Theory, and Mean-Variance Model. The annualized returns of Bank of China and Maanshan Iron and Steel are negative, according to the results. Maanshan Iron and Steel is -0.029148 vs -0.068115 for the Bank of China. Great Wall Electricity is 0.173349, whereas BYD is 0.250717 and MIDEA is 0.117577. The volatility of these five equities is substantial. The Bank of China's annualized volatility is 0.34952. The portfolio with the least volatility has a cumulative return of 18.10%, and the portfolio with the largest Sharpe ratio has a cumulative return of 30.80%. This research has certain reference value for investors.