Positive study of Markowitz models in Shenzhen stock market
Jianli Chen · Journal of Zhejiang University of Technology · 2005
The practical application problem of Markowitz models in Shenzhen stock market is discussed in this paper. Considering disallowing fictitious transaction, the improved Markowitz models are adopted. Taking the trading data of the 40 component index stocks of Shenzhen stock market from Jan.11,2002 to Apr.2,2004 as the research objects, the law of risk variation of stock combination is studied and the optimal portfolio is found out by using difference coefficient. In addition, the outcome has been proved to be rightful and feasible. So it's reasonable to say that this method could give investors some advice.