Portfolio Optimization for Real Estate Industry, Food and Beverage Industry, Energy Industry, Medicine Industry, Finance Industry and Retail Industry in Chinese Capital Market

Abstract

Creating a portfolio is one of the mainstream ways for investors to avoid risks. This paper focuses on Chinese investment market, and selects six different industries in A-shares, which are preferred by Chinese investors, i.e., real estate industry, food and beverage industry, energy industry, medicine industry, finance industry and retail industry. This paper selected six representative assets from these industries for analysis. This paper selects the closing price data of these six assets in the past year, simulates 10,000 different investment portfolios by Monte Carlo simulation, and then uses the mean variance model to select the maximum Sharpe ratio portfolio and the minimum volatility portfolio. After getting the weights of the two groups of assets, this paper used the real income data of nearly two months to test the performance of the portfolio. The results show that: In the maximum Sharpe Ratio portfolio, Poly Development accounted for the max proportion, which is 35.05%, however, Tongrentang accounted for the min proportion, which is only 0.26%. And in the minimum volatility portfolio, the max percentage is Tsingtao Brewery, which is 50.82%, while the min percentage is Chenguang, which is 0.84%. This research results have certain reference value for investors.