Research On The Application Of Multi-factor Stock Selection Model In Portfolio Management

With the development of economy,people's investment concept is more and more scientific.In this context,the market must provide more diversified investment options in order to enhance the willingness of investors and increase the investment activity of financial markets.Investors seek more advanced investment means to improve the efficiency of information processing,to quickly obtain effective market information,and to seek effective investment opportunities to obtain excess returns.With the development of big data and artificial intelligence and the steady development of computer technology,it is of great significance to combine financial investment theory with information technology to construct investment strategy.At the same time,although the domestic quantitative investment is developing rapidly,our country is still in the initial development stage of quantitative investment,and most of the research directions of most scholars are focused on the applicability of quantitative investment in our country market and so on.In this paper,the influence of investor sentiment on the trend of the whole market is innovatively taken into account.Therefore,the relationship between investor sentiment and the return of China's investment market is analyzed and studied,which is based on the most popular multi-factor stock selection model in quantitative investment.This paper attempts to construct a multi-factor stock selection model based on investor sentiment factors,combining emotional timing with multi-factor stock selection.Under the guidance of portfolio theory,this paper constructs a multi-factor stock selection model based on the scoring method.It combines the characteristics of the Chinese market with the factor selection,and makes an empirical analysis based on the actual market data.The empirical analysis of the multi-factor stock selection model with equal weight distribution verifies the validity of the multi-factor stock selection model in the Chinese market,and creatively constructs the investor sentiment factor for the emotional factors of the stock market.By combining emotional timing model with multi-factor stock selection model,the timing optimization based on multi-factor stock selection model is carried out,which provides a stable investment strategy for obtaining excess returns.On the construction of investor sentiment factor,this paper combines the characteristics of A share market in our country,synthetically considers four factors to measure investor sentiment,and uses principal component analysis method to study a large number of historical index data.Finally got investor sentiment factor y.Then,by analyzing the relationship between the historical data of monthly return of sample stocks and investor sentiment factors,the timing strategy based on investor sentiment is obtained.Regarding the construction of multi-factor stock selection model,this paper takes the component stocks of CSI 300 index as sample stocks,selects the historical data from 2010 to 2016,and tests the validity and correlation of the 12 selected factors.Finally,based on the six effective factors in China's A-share market,a multi-factor stock selection model is established according to the scoring method,which provides investors with a reasonable and uncomplicated rational investment strategy.Finally,the investor sentiment factor is applied to the optimization of the multi-factor stock selection model,and the validity of the multi-factor stock selection model based on the investor sentiment factor is tested by historical data,and the simulation investment experiment analysis is carried out by using the strategy in 2017.The result of portfolio income statistics shows that the portfolio returns of multi-factor stock selection model are indeed better than market performance,and the multi-factor stock selection strategy based on investor sentiment is better than that of market performance.Therefore,it shows the applicability and effectiveness of multi-factor quantitative stock selection strategy based on investor sentiment in Chinese market.