Advances in Economics, Management and Political Sciences

- The Open Access Proceedings Series for Conferences


Proceedings of the 7th International Conference on Economic Management and Green Development

Series Vol. 36 , 10 November 2023


Open Access | Article

Application of ARIMA in Mean-Variance Portfolio Optimization

Wanlin Yang * 1
1 Shanghai Jiao Tong University

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 36, 11-16
Published 10 November 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Wanlin Yang. Application of ARIMA in Mean-Variance Portfolio Optimization. AEMPS (2023) Vol. 36: 11-16. DOI: 10.54254/2754-1169/36/20231777.

Abstract

The stock market often carries investment risks, and portfolio investment can to some extent reduce investment risk, helping investors to achieve certain goal in the financial market. In this paper, stock data from March 15th, 2022, to March 20th, 2023, is collected, and the ARIMA prediction model is ap-plied in the mean-variance framework for constructing optimized portfolios. The results are summarized as follows. First, the data passed the white noise test and was used to conduct ARIMA prediction. The residual sequence of the prediction results is stable, and the model performance is good. Then, the minimum-variance model and the maximum Sharpe ratio model are imple-mented according to the predicted data. Ping An Insurance has the largest weight in the minimum variance model, and Baosteel has the largest weight in the maximum Sharpe ratio model. Overall, the result in this paper provides insightful point for financial investors.

Keywords

ARIMA, PingAn insurance, baosteel, portfolio

References

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4. Kang, Z.L., Li, Z.F.: CVaR robust mean-CVaR portfolio optimization model and the solving methods. Operations Research Transactions, 21(1), 1-12 (2017).

5. Eftekharian, S. E., Shojafar, M., Shamshirband, S.: 2-phase NSGA II: An optimized reward and risk measurements algorithm in portfolio optimization. Algorithms 10(4), 130 (2017).

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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 7th International Conference on Economic Management and Green Development
ISBN (Print)
978-1-83558-093-6
ISBN (Online)
978-1-83558-094-3
Published Date
10 November 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/36/20231777
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated