| Since its emergence in the 1 950s, the security portfolio investment theory has been highly emphasized in both the theoretical communities of security investment. This theory has been widely applied to the investment of risk capital with good performance in advanced capital market. In China where the security market is still a newly-emerged capital market, it has been a great concern as to how to apply the portfolio investment theory into practice and how to take full advantage of this theory. In this paper, the author has developed an applied software and Xiangcai Index Bank applicable to the development, the author made a theoretical study and comparative analysis on the applications of the main models of portfolio investment theory into the Chinese Shanghai and Shenzhen Stock Exchange. The models included: Markowitz variance model, single/mutti-factor model, fund historic performance evaluation and investment portfolio evaluation model. After a comparative and systematic study, the paper arrives at the following achievements and conclusions:I.An applied software for modern portfolio investment theory was developed (named:Xiangeai portfolio Investment Analysis Software, abbreviation XCPLAS), which is composed of: 1. Database; 2. Security management (security browsing, security selection ,self-defined portfolio); 3. Xiangcai index system; 4. Risk-return analysis system (calculating the variance, mean square deviation, covariance, covariance matrix, ~ factor, average return of the security); 5. Portfolio investment performance evaluation system (effective portfolio and effective portfolio calculation);6.Sharp single-index model system, including effective portfolio calculation); 7. portfolio investment performance evaluation system (calculating the sharp index, Jansen index, index, value); 8. Multi-factor model analysis system(effective portfolio calculation, transverse regression analysis, time-sequence regression analysis, hedgemode1); 9. Markt effectiveness testing syStem (weak effective teSting, semi-sttOngeffective testing.II. To be able tO Pu factor model based on market index ibo Chinese security market,and by reference to the sitUation tha Chinese investors, esPeciaily the funds andinstitUtiona1 investors invest in both Shanghai and Shenzhen stock market at the satnetime, the author developed the Xiangcai boex COInedensive figUr, XiangcaiShanghai Shenzhn Index, c1assified figUre (sector index, regional index, randomPOrtfo1io index,. The above indexes are calculated by weighing the A.B shares inShanghai and Shewhen Stock Exchange, eliminAing the imPact of thenon-circuating Pub1ic to.IIl. Affer teSting the Chinse stock market's efficiency hy using regression analysisand trend analsis, the pape came to the conctheion that the Chinese secdrity marketcurreully haS the feafore of weak effectveness. ms indicates that the Chinesesecwhies market is abe to fully refiect the disclosed infonnation in market, anymehOd tha uses teetw dingam analysis can nOt obtain extr proflt. Bu cnanty'the Chinese security tnarke can nO reflect ail the Publicly availabe infanation. Thatis tO say if someone knOws a comPW's good new in advance, he will get chprofit.N. The Pgrr analySis the itnpart elements on otes by usng tim Seqwting andtransverse regression. The resul shOW tha the he Pnd is veq cormlative to thenet asset's retal tate, bu not obvious1y correlative to the boer the and sharecaPital size. The Chinese share maret has an obvious: "ta utlity,.V The paPer, by applytng the aveage-varianee model, single-faCtr modl,multi~model, mad a miulmum varianCe talcuation on the inveStmen portfO1io offive funds listed in l998 (issued on June 30, 1999),and made a comparson and testingof the calculated resu1ts. The findings show that, with short sales allowed, theMarkowttz model is not ideal in aPplication up to now The single-factor andmulti-factor model share satisfactory in aPplication. The difference is probably due tothat the later models...
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