The Application of ARIMA and Mean-variance Models on Financial Market

This study centers on forecasting return and constructing proper portfolios with 5 typical assets rarely focused the Chinese A-share market. paper applies fittest ARIMA models for each of selected stocks to predict their trend returns in next 20 days. Besides, we create efficient frontier by Monte Carlo simulation under Markowitz’s Mean-Variance framework focus two portfolios, i.e., maximum Sharpe ratio portfolio minimum volatility portfolio. The empirical results model indicate a rational prediction show that stock Foshan Haitian Flavouring Food Company Ltd. China Merchants Bank Co., account largest proportion portfolios. Further are higher than market index return, which illuminates outperform index. this will surely benefit related investors financial