Akademik Veri Yönetim Sistemi
16th International Conference on Management Science and Engineering Management (ICMSEM), Ankara, Türkiye, 3 - 06 Ağustos 2022, cilt.144, ss.136-159
As the key research direction of investment science, the portfolio model strives to bear the smallest risk on the expected rate of return. Affected by factors such as economic globalization, financial innovation, real estate control, imported inflation, and the intensification of the SinoUS trade war in recent years, the volatility of China's capital market has intensified, and the situation of investors' asset returns has become more severe. Therefore, this study uses VaR-GARCH (1,1) model to describe the return on assets, and conducts empirical analysis on four samples selected from each of the three types of assets: stocks, stock funds, and currency funds, Using the model to optimize investment portfolio. The research results show that the model can describe these three types of assets more accurately, and the return of stock assets is significantly better than the mean-variance-based portfolio method. Finally, this research puts forward some investment suggestions with practical value.