Author(s)

Hanyu Dai, Yitong Wang, Tianle Yang

Corresponding Author

Tianle Yang

ABSTRACT

With the rapid development of computer technology, quantitative investment is in the ascendant. To combine the fundamental analysis and quantitative investment together, this paper focuses on 10 representative stocks in the U.S. financial markets. The ARIMA model is adopted to forecast the returns. Based on the Modern Portfolio Theory, the Monte Carlo Simulation and the Convex Optimization are used to analyze the corresponding weights of the assets. The results show that the asset of AAPL accounts for the largest proportion in the Maximum Sharpe Ratio, while when the investor is more risk-averse, the asset of CHTR is the optimized choice. We compare the constructed portfolios with the actual market return and the results show that our portfolios beat the market return with a higher accumulated return and a smaller volatility, thus is beneficial to the investors.

KEYWORDS

Portfolio theory, Monte Carlo simulation, ARIMA, Portfolio Optimization