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Portfolio Optimization for Five Influencing Companies of Technology Industry in the Hong Kong Stock Market
- 1 The University of Melbourne, U1113, 51 Homer Street, Moonee Ponds, VIC 3039, Australia
- 2 Zhongnan University of Economics and Law, Hubei Province, China
* Author to whom correspondence should be addressed.
Abstract
Nowadays, as a such big number of countries pay more attention to the scientific research strength, The importance of high and new technology is more and more recognized, the proportion in the securities market is increasing, technology stocks in the eyes of investors. This paper selects 5 Chinese technology growth stocks in Hang Seng Index as the research object and establish the dataset which contains the monthly time series of price in Hang Seng index. Fama experiment is used to well diversify the idiosyncratic risk and make sure that the portfolio is affected by the system risk. Through the mean-standard deviation plot, it can check the independence of the data we collect and check the normality. The portfolio can be divided into two situations: one includes risk-free assets and non risk-free assets. Finally, the performances of the portfolios are accessed including return volatility and weight of assets. The results show that, first, based on the Fama experiment, at least 5 stocks must be chosen to deal with idiosyncratic risk. Second, according to the mean-standard deviation plot,all the assets’ data are i.i.d. Third, the result show that both maximum return portfolios have the high return, and the portfolio contains risk-free assets is higher than portfolios without risk-free assets in the maximum return portfolio, but lower in the maximum Sharpe ratio portfolio. The findings may be useful to stimulate investors pay attention to invest in the technology stocks and create efficient portfolio. Meanwhile, this paper can suggest people how to rationally allocate stocks from multiple dimensions, build an effective combination, and try to obtain higher returns as far as possible in the condition of low risk.
Keywords
Technology stock, Fama experiment, Portfolio.
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Cite this article
Deng,D.;Zheng,J. (2023). Portfolio Optimization for Five Influencing Companies of Technology Industry in the Hong Kong Stock Market. Advances in Economics, Management and Political Sciences,4,548-553.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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Volume title: Proceedings of the 6th International Conference on Economic Management and Green Development (ICEMGD 2022), Part Ⅱ
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