Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation
In the current global economic recovery, the market still has a certain degree of volatility, in the case of volatility or bad market how to go to the portfolio and optimize it is a very critical task. In this paper, based on Markowitz’s investment theory, Monte Carlo algorithm is applied to achieve...
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| Format: | Article |
| Language: | English |
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EDP Sciences
2024-01-01
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| Series: | SHS Web of Conferences |
| Online Access: | https://www.shs-conferences.org/articles/shsconf/pdf/2024/08/shsconf_icdde2024_01009.pdf |
| _version_ | 1797221525799043072 |
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| author | Ding Senfan |
| author_facet | Ding Senfan |
| author_sort | Ding Senfan |
| collection | DOAJ |
| description | In the current global economic recovery, the market still has a certain degree of volatility, in the case of volatility or bad market how to go to the portfolio and optimize it is a very critical task. In this paper, based on Markowitz’s investment theory, Monte Carlo algorithm is applied to achieve portfolio optimization, which is verified by the dataset of five A-share data selected as a representative dataset in the period of global epidemic. For the model and the algorithm, good results are achieved for the objective market, and the market conditions are successfully represented; for the portfolio optimization, the high-risk and highreturn portfolio with the highest Sharpe ratio is finally found, and compared with the portfolio with minimized risk, and the portfolio with the highest Sharpe ratio is concluded as the optimal portfolio for this experiment, which is the optimal portfolio for this experiment, and should not be pursued for low risk but will be the best portfolio for this experiment in the turbulent and downturn market. In a volatile and depressed market, it should not be pursued for low risk but will result in a loss of return, and it should be maximized with a certain degree of volatility. |
| first_indexed | 2024-04-24T13:06:50Z |
| format | Article |
| id | doaj.art-ea5542b620024e0f9d0f1498ace62e7b |
| institution | Directory Open Access Journal |
| issn | 2261-2424 |
| language | English |
| last_indexed | 2024-04-24T13:06:50Z |
| publishDate | 2024-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | SHS Web of Conferences |
| spelling | doaj.art-ea5542b620024e0f9d0f1498ace62e7b2024-04-05T07:32:09ZengEDP SciencesSHS Web of Conferences2261-24242024-01-011880100910.1051/shsconf/202418801009shsconf_icdde2024_01009Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo SimulationDing Senfan0School of Computer Science and Information Engineering, Hefei University of TechnologyIn the current global economic recovery, the market still has a certain degree of volatility, in the case of volatility or bad market how to go to the portfolio and optimize it is a very critical task. In this paper, based on Markowitz’s investment theory, Monte Carlo algorithm is applied to achieve portfolio optimization, which is verified by the dataset of five A-share data selected as a representative dataset in the period of global epidemic. For the model and the algorithm, good results are achieved for the objective market, and the market conditions are successfully represented; for the portfolio optimization, the high-risk and highreturn portfolio with the highest Sharpe ratio is finally found, and compared with the portfolio with minimized risk, and the portfolio with the highest Sharpe ratio is concluded as the optimal portfolio for this experiment, which is the optimal portfolio for this experiment, and should not be pursued for low risk but will be the best portfolio for this experiment in the turbulent and downturn market. In a volatile and depressed market, it should not be pursued for low risk but will result in a loss of return, and it should be maximized with a certain degree of volatility.https://www.shs-conferences.org/articles/shsconf/pdf/2024/08/shsconf_icdde2024_01009.pdf |
| spellingShingle | Ding Senfan Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation SHS Web of Conferences |
| title | Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation |
| title_full | Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation |
| title_fullStr | Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation |
| title_full_unstemmed | Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation |
| title_short | Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation |
| title_sort | portfolio optimization based on markowitz investment theory and monte carlo simulation |
| url | https://www.shs-conferences.org/articles/shsconf/pdf/2024/08/shsconf_icdde2024_01009.pdf |
| work_keys_str_mv | AT dingsenfan portfoliooptimizationbasedonmarkowitzinvestmenttheoryandmontecarlosimulation |