Portfolio analysis to Shanghai stock market: a trade off between mean and absolute deviation

Large scale portfolio analysis to stock markets in China has not been much discussed in the lite rature. In this paper, based on the approach of a trade off between mean and absolute deviation, we investigate the portfolio performances of 169 A stocks in Shanghai stock market. Some useful conclusions are derived, which are helpful to understand the investment in Shanghai stock market both for the investors and the market supervisors. This paper indicates that the software QuanzPortfolio utilized is efficient to cope with the large scale portfolio data, and helpful to analyze the portfolio investment in secuity markets for investors (in particular, the fund company).