Markowitz's Portfolio Model and Its Empirical Research Based on Security Market in China
Houqiang Yu · Journal of Gansu Sciences · 2013
Taking into account the actual situation of Chinese securities market,in order to establish the Markowitz model,we attempt to establish a constrained portfolio selection model based on the no short buy and sale,transaction costs and minimum lot constraints by gradually adding constraints.The nonlinear and non-smooth programming problem was solved using MATLAB,and the portfolio model was established.15stocks in Shanghai Stock Exchange were chosen to make empirical research.The results showed that the model and the algorithm were valid.