Portfolio Optimization Based on Markowitz Investment Theory and Monte Carlo Simulation
Senfan Ding
Abstract: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 th… Show more
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