Research On The Effect Of Volume On Portfolio Optimization

Modern portfolio selection theory is one of the most important problems in various financial environments, which is to study how to seek equilibrium between risk and return in various complex and uncertain environment to achieve maximum return and minimize risk. Marked return as its basis variables and calculating the expected value and variance. Basined on this, solving the portfolio optimization model. It can be said that the portfolio theory only baizes on the analysis of price sequence, and does not contain the information of trading volume. Obviously it can not be negate the correctness and the practical feasibility in portfolio selection theory. Furthermore a number of dealers regard trading volume as an important indicator in analyzing the movements of the stock price.Based on the previous research, the paper describes the daily stock return with fuzzy numbers, establishes a new regression equations about trading volume and return discusses the existence of solution about the regression equations and estimates the standard error of the regression equation's estimated value.After this a new portfolio optimization model based on the above regression equation is formulated and discussed the impact to the portfolio optimization when apply trading volume instead of price fluctuations in stock market. Then we also discussed the existence of solution of the portfolio optimization model. And then through a practical numerical example to illustrate its effect when we apply trading volume instead of price fluctuations in the portfolio optimization model.Finally,we give a comprehensive and composite summary for this paper .