Portfolio Optimizing Based On Liquor Stocks And Empirical Analysis

The research of portfolio has always been a hot topic in the financial field.The A-share market has a large number of individual investors,which often lacks the relevant knowledge of financial theories and are highly speculative.Chinese residents’ personal deposits have exceeded 70 trillion yuan since 2018,and there are huge value preservation and value-added demands.How to find a long-term portfolio optimization and method with simple investment structure,efficient operation and usefulness is an issue that individual investors are eager to solve.Combined with the concept of value investment,under the conditions of market equilibrium and effective market hypothesis,to reduce investment risks and expand investment returns.The thesis chooses this topic to carry out the research,which has strong practical significance.In the context of the above-mentioned applied research,based on the theories and models of investment portfolio,the thesis constructs three investment portfolios of the four brands for Kweichow Moutai,Wuliangye,Gujing Distillery and Luzhou Laojiao in the liquor enterprises: the optimal weight portfolio,multi-factor scoring portfolio and time series linear regression portfolio.Specifically,the thesis starts with the relevant theories and models of portfolio,and combines the research status of domestic and foreign scholars,the hypothesis is put forward.The portfolio models and data processing methods by computer are used to combine with the annual financial statements and market data of the four stocks for 17 years.The feasibility solution for the four stock portfolios is calculated.Secondly,the empirical analysis was carried out by using the historical data from 2002 to 2018.The overall and annual samples analyzed changes in market yield and volatility.The results showed that when the risk portfolio had a long-term positive risk premium,it was for the four stock portfolios of Kweichow Moutai,Wuliangye,Gujing Distillery and Luzhou Laojiao in the listed liquor enterprises,the increase of aversion coefficient has a significant negative impact on long-term annual returns of the portfolio;Sharpe ratio optimization has a significant positive impact on long-term annual returns;multi-factor scoring portfolio is an effective and feasible solution.