| Issue |
E3S Web Conf.
Volume 251, 2021
2021 International Conference on Tourism, Economy and Environmental Sustainability (TEES 2021)
|
|
|---|---|---|
| Article Number | 01114 | |
| Number of page(s) | 5 | |
| Section | Analysis of Energy Industry Economy and Consumption Structure Model | |
| DOI | https://doi.org/10.1051/e3sconf/202125101114 | |
| Published online | 15 April 2021 | |
Portfolio Model Based on Scenario Tree
School of Economics and Management, Lanzhou University of Technology, Lanzhou, China
* Corresponding author: haiyanxuan@msn.com
The uncertainty of return rate will affect the investment decision. In this paper, the ARMA-GARCH model is used to describe the data characteristics of stock returns, and the Monte Carlo method is used to construct a scenario tree containing the stock return rate and node probability. The decision rules are used to determine the nodes on the scene tree, and two mean-variance models are established based on the scene tree. Finally, four stock data are selected to optimize the portfolio of the constructed model, the results show that the scenario tree has good advantages in describing the uncertainty problem, and the constructed model is effective and feasible; the difference between the two models is analyzed and compared, which provides a reference for different investors.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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