Investment Portfolio Construction in the Beijing-Tianjin-Hebei Region of the CSI 300

Zhewei Liu

doi:10.54691/bcpbm.v30i.2444

Authors

Zhewei Liu

DOI:

https://doi.org/10.54691/bcpbm.v30i.2444

Keywords:

ARMA model; Integration of Beijing-Tianjin-Hebei regions; Investment portfolio; Mean-variance model.

Abstract

How to construct an optimal investment portfolio has become the mainstream of research with the increasing demands of investors to preserve values and returns. This paper is based on the background of the construction of the millennium plan of Xiongan New Area and the gradual improvement of the integration of Beijing, Tianjin and Hebei. The author selects 5 stocks related to infrastructure construction in related area from CSI 300 to construct optimal investment stocks. After processing and analyzing the original data, the time series model is used to predict the future stock data, and the mean variance model is used to construct the investment portfolio to obtain the optimal Sharpe ratio. The final simulation result shows the superiority of portfolio construction with a high yield of 0.346 and the Sharpe ratio value is 2.473, which can provide a reasonable reference investment in enterprises in the Beijing-Tianjin-Hebei region. This paper has important reference value in data selection and optimization of time series model parameters.

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