Design of Quantitative Investment Strategy Based on Domestic Chip Industry

Select 59 concept stocks in the chip industry for quantitative analysis, use principal component analysis method and k-means clustering to process our financial indicators; historical simulation method, variance-covariance Monte Carlo calculate VaR value of each stock effective risk management. Based on Markowitz theory, frontier five is constructed, combined with utility investors different aversion levels, best portfolio selected obtain field, using Sharp ratio CV performance evaluation, corresponding investment suggestions are given.