Portfolio Design Based on Bigdata Analysis and Sharpe Ratio Optimal model

Abstract

Sharpe ratio is a classic index that can comprehensively consider both return and risk. At the same time, it is only used to investigate the asset of the final venture capital portfolio. Therefore, Sharpe ratio is an important research topic in the financial field. This paper is based on big data analysis and minimum variance model. Thereinto, the companies selected in these five industries are AVIC Electrical Systems Co., Ltd., Archer Daniels Midland Company, Bank of America Corporation, Eastman Chemical Company and China XD Plastics Company Limited. Sharpe ratio is a representation of unit risk and return on investment. The greater the Sharpe ratio, the higher the unit risk return of this portfolio. Secondly, the data we use comes from Yahoo Finance, in which we select the year from 2015 to 2021, because the data of these seven years are more accurate. Meanwhile, the tool we use is RStudio, because RStudio is very excellent in graphics and charts. According to the analysis, these results indicate that one can find the portfolio with the highest risk return rate in these seven years. These results shed light on portfolio design based on bigdata analysis in terms of optimal approaches.