Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022)

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Analyze the Effect of Improving Portfolio Performance by Integrating Science and Technology Innovation Board and Growth Enterprise Market

Based on ARIMA Model and Mean-Variance Portfolio

Authors
Yining Gao1, *
1College of Arts and Sciences, Shanghai Maritime University, Shanghai, 201306, China
*Corresponding author. Email: 201911010016@stu.shmtu.edu.cn
Corresponding Author
Yining Gao
Available Online 14 December 2022.
DOI
10.2991/978-94-6463-054-1_58How to use a DOI?
Keywords
Science and Technology Innovation Board; Growth Enterprise Market; ARIMA model; Mean-variance portfolio
Abstract

Science and Technology Innovation Board (STIB) and Growth Enterprise Market (GEM) are developed plates in recent years, which makes both sectors full of vitality and have great development prospects in the future. This paper aims to enrich the research contents of STIB and GEM on the return effect of portfolio, and promote the performance and development of GEM and STIB in the investment portfolio. Firstly, the data are made up of two GEM stocks, another two stocks, which are from STIB, and the construction index. The data, selected from March 11th, 2021 to May 30th, 2022, go through data processing and testing prepared for model. Appropriate ARIMA model is selected for data prediction, and then mean-variance model is used to select appropriate portfolio through maximum Sharpe ratio screening. After the addition of stocks from STIB and GEM, the increase of return expectation and the improvement of Sharpe ratio both reflect that the portfolio performs better than the construction index, indicating that the integration of STIB and GEM improves portfolio returns. To a greater extent, it shows that the proposal of STIB and GEM can promote the main board market and improve the performance of the main board market.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
14 December 2022
ISBN
978-94-6463-054-1
ISSN
2352-5428
DOI
10.2991/978-94-6463-054-1_58How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yining Gao
PY  - 2022
DA  - 2022/12/14
TI  - Analyze the Effect of Improving Portfolio Performance by Integrating Science and Technology Innovation Board and Growth Enterprise Market
BT  - Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022)
PB  - Atlantis Press
SP  - 537
EP  - 548
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-054-1_58
DO  - 10.2991/978-94-6463-054-1_58
ID  - Gao2022
ER  -