Optimization of Stock Portfolio Composition

Abstract

The goal of this thesis is to determine and analyze optimal compositions of equity portfolios which are constructed from 15 stocks included in CSI Liquor Index. We compare the observed return, Maximum Drawdown, and Sharpe ratio of the portfolios with the CSI Liquor Index fund in the same investment period. The thesis has five chapters. The first chapter is the introduction. The second chapter contains the theoretical introduction of investment decision making and market background. The third chapter contains a theoretical introduction of the models which we will use to construct equity portfolios. In the fourth chapter, we apply data to the models in Excel according to the theory in the third chapter. The last chapter provides a conclusion and it contains a discussion of the results and summary of the whole thesis.