An Empirical Test of the Efficient Frontier in China's Stock Market
Qinghua Fu · 2003
The paper estimates the efficient frontiers of Shanghai and Shenzhen stock markets using the Markowitz model. The result shows that the efficient portfolios of the Markowitz model are not only better than the single security and the random simple equal-weighted portfolios, but also better than the average performance of the stock market. Thus a conclusion is drawn that the Markowitz portfolio theory has a practical value to China's stock market.