The Research On Portfolio Selection Based On GE Matrix Model

With the development of society and economy and the increase of people's disposable income,more and more investors are actively engaged in financial management and investment in the financial market.In 1952,American economist Markowitz proposed the Mean-Variance(M-V)portfolio model.For the first time,it applied the mathematical method to the analysis of the relationship between the return and risk of financial assets and provided a new idea for solving the optimal portfolio problem.However,as the sample size in the stock market gradually increases,the computational complexity of the mean-variance model also increases,resulting in a problem of reduced efficiency.The GE Matrix / McKinsey Matrix,also known as the McKinsey Matrix,is a new combination analysis method developed by the General Electric Company in the 1970 s.The method is easy to understand and is widely used in practical problems such as product selection,market selection and optimization analysis of key factors.Therefore,this paper applies GE matrix to the research of portfolio selection.The research contents are as follows:(1)A total of 71 listed companies in the three banking,securities,insurance,and other subdivided financial sectors in China's Shanghai-Shenzhen A shares were selected before 2017.28 suspensions and incomplete data were excluded.This paper finally selected 43 listed companies.Study for sample stocks..(2)Based on portfolio theory and the GE matrix model,relevant indicators for measuring corporate investment risks and investment returns,such as asset turnover rate and total profit,are determined,and a GE matrix model is constructed.The AHP method was used to analyze the influencing factors,and the sample was reduced based on the GE matrix model of the portfolio.(3)Based on the reduced dimension of the GE matrix model,a mean-variance model was established and the investment strategies of 43 sample stocks were solved.At the same time,in order to test the validity of the GE matrix results,this paper compares it with the investment strategy solved by the traditional mean-variance model.