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2011•Journal of Sichuan University of Science & EngineeringRequires access

Application of Portfolio Theory in the Stock Investment

Zhan Ling-xi

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Abstract

Using statistics of ten industries in Shanghai Stock Exchange(SSE),including Materials,Energy,Industry,Alternative Consumption,Consumption,Finance,Pharmacy,Information,Telecom and Public Use,study the portfolio theory of Markowitz.This paper is going to explain how the mean-variance model of Markowitz works,with the maximum and minimum expected return,the minimum variance determining the efficient frontier,then choose the reasonable portfolio according to the efficient frontier.

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What this paper is about

Using statistics of ten industries in Shanghai Stock Exchange(SSE),including Materials,Energy,Industry,Alternative Consumption,Consumption,Finance,Pharmacy,Information,Telecom and Public Use,study the portfolio theory of Markowitz.This paper is going to explain how the mean-variance model of Markowitz works,with the maximum and minimum expected return,the minimum variance determining the efficient frontier,then choose the reasonable portfolio according to the efficient frontier.

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Available abstract

Using statistics of ten industries in Shanghai Stock Exchange(SSE),including Materials,Energy,Industry,Alternative Consumption,Consumption,Finance,Pharmacy,Information,Telecom and Public Use,study the portfolio theory of Markowitz.This paper is going to explain how the mean-variance model of Markowitz works,with the maximum and minimum expected return,the minimum variance determining the efficient frontier,then choose the reasonable portfolio according to the efficient frontier.

Key concepts: Efficient frontier, Portfolio, Modern portfolio theory, Stock exchange, Economics, Stock (firearms), Econometrics, Portfolio optimization

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