A Study on the Revising Markowitz’s Portfolio Selection Model
Minghui Yang · Nanjing Linye Daxue xuebao · 2005
On the basis of studying shortcomings about Markowitz’s model,a revised model is given in this paper.By means of drawing the concept of the risk on the value,this paper define the concept about profit and risk of portfolio composition again and combine these two objects into a single one well by drawing the investor’s psychological coefficient which describes the investor’s intention value to these two objects.So,Markowitz’s model is turned into a linear programming model.In the end,the revised model is applied to how to decide the proportion of (9 stocks) in Shenzhen stock market,which verifies the effectivness of the model.