The Application Of Markowitz Dual Problem

In 1952,Markowitz first proposed the mean-variance model and won the Nobel Prize in economics in 1990.Markowitz's mean variance model solved the optimal combination of risk minimum under the appointed required reture rate of a specified portfolio,and get the efficient frontier.This paper studied original model's dual problem.That is the optimal combination of required reture rate maximum under the appointed risk of a specified portfolio,there are two kinds of cases,consist of risk portfolio in the combination,consist of riskless portfolio and risk portfolio.We get the optimal investment portfolio of dual problem,that is investment proportion of every securities in the combination.At the same time,the effective frontier of both cases is obtained.With the help of Eviews and MATLAB of Shenzhen and Shanghai stock market some monthly data to do the empirical analysis.