Applicability Analysis Of Markowitz Model And Its Derived Three-factors Model In A Shares

In 1952,the American economist Markowitz proposed the portfolio theory for the first time and created the theory of modern investment.In the following decades,many scholars established a series of derivative models based on the Markowitz portfolio theory which have enriched portfolio theory.These models are powerful tools for catching the market,grasping the laws of the market,and reducing risks.Since the reform and opening-up contributing to the rapid development of China's market economy construction,people's material and cultural living standards have significantly improved,disposable income has also increased substantially,and more and more people are participating in investment activities.The development of China's stock market is in the ascendant at the time.The healthy development of the stock market plays an important role in improving the efficiency of resource allocation and ensuring the healthy and stable development of the national economy.The western stock market started early and developed more maturely,and a series of classical theoretical models have been proposed.In comparison,China's stock market started late,and the relevant rules and regulations are still not perfect.There are many problems in the development process.Various factors have caused the stock market of China to have its own particularities.Domestic scholars have been tirelessly researching and developing investment theories suitable for China's national conditions for decades and have made many important and creative contributions.Which whether western classical investment theory model can be applied to China's securities market is a hot issue.The author finds that the domestic research on portfolio theory mainly focuses on factor effect research,and most of them use monthly frequency data for analysis,and the conclusions obtained are different.This paper uses daily frequency data to test the Three-Factor Model of A-shares in SSE and SZSE respectively in order to use high-frequency data to more accurately capture the characteristics of A-shares.I draw a conclusion that there are systematic risks,scale effects and value effects of A-shares..Then all stocks of the A shares are grouped according to the scale(tradable market value),and then the data from January 1,2016 to December 31,2016 is used as a training set,backtesting the accumulated rate of return from January 1,2017 to April 9,2018 by comparing the performance between the Markowitz strategy and the 100 random allocation strategies of the choiced stocks of different groups.The conclusion is that the Markowitz model also has a scale effect.