Research On Optimization And Application Of Fund Portfolio Model

In 1952,Harry Markowitz published a paper named "portfolio selection",which first proposed the mean-variance portfolio model.This paper expounds how to use portfolio to provide more alternative investment methods,laying a foundation for the development of modern portfolio theory.An appropriate portfolio model can provide theoretical support for investment decisions,disperse risks to some extent and ensure the stability of returns.Based on the mean-variance model and the fact that short selling is not allowed in China’s financial market and includes the risk-free asset,this paper studies the portfolio models with and without short selling respectively.Analyzes the application of the model based on the stock data in Shanghai financial market to study the practical application significance of the model.Firstly,risk-free assets and investor risk preference are introduced based on the classical mean-variance model.The mean-variance model with risk-free assets and mean-variance model with opportunity constraint are studied when short selling is allowed,and the expression of its effective boundary is solved.Then,according to the regulation that short selling is not allowed in China’s securities market,the mean-variance model with risk-free assets and the mean-variance model with opportunity constraint are established when short selling is not allowed.At this time,the effective boundary of the model is not explicitly expressed.We use the rotation algorithm to solve the distribution characteristics of the effective boundary.Finally,the paper selects the data of 10 stocks in Shanghai financial market to establish the portfolio model under the circumstances of allowing short selling and not allowing short selling,and conducts empirical analysis.In particular,the selected sample data are divided into training samples and test samples under the portfolio approach that does not allow short selling.It is used to establish the efficient boundary and optimal investment strategy of the portfolio model,and to test the effectiveness of the optimal strategy of the portfolio model.The innovation point of the paper includes two aspects: the first innovatin of the paper is according to the market regulations of our country that does not allow short selling,considering the riskless assets and risk preference of investors.The paper establishes the mean-variance model with riskless assets and the mean-variance model with riskless assets under the opportunity constraint when short selling is not allowed.The optimal investment strategy is solved by optimal programming and rotation algorithm of inequality group.The second innovation of the paper is the distribution characteristics of the effective boundary of the model are studied by empirical analysis,and provide more targeted investment strategies for investors with different levels of risk preference.