Optimizing Portfolios in China’s A-Share Market: Risk–Return Dynamics

Hao Gong

Co-Presenters: Rongkai Liu

College: College of Business and Public Management

Major: BS.MANAGEMENT-ANALYT

Faculty Research Mentor: Shirvani, Abootaleb  

Abstract:

The project analyses the portfolio construction techniques and risk-return performance of the Chinese A-share equity market. The project comprises transportation, construction, engineering, and renewable energy, with a focus on large-cap companies in the key industrial sectors. The analysis uses 25 industrial stocks from the China Securities Index 300 (CSI 300) over the period from September 30, 2015, to September 29, 2025. The risk and the portfolio performance are evaluated through the quantitative portfolio optimization model in long-only and long-short investment constraints. The project applies historical and rolling (time-varying) optimization methods to examine how changing returns and downside risk—measured by Conditional Value at Risk (CVaR)—affect portfolio efficiency in a policy-sensitive and evolving market environment.The findings show that diversification and benchmark selection are essential for improving risk-adjusted performance in the Chinese equity market. By applying standard portfolio optimization techniques to China’s equity market, this project illustrates how emerging-market characteristics influence portfolio risk and performance and provides practical insights for quantitative investment analysis.