| The assets portfolio in security market is the core research area of Finance and the funds portfolio is becoming a hot study task. We can structure the fund portfolio to decrease the risk of fund investment. The domestic scholars have studied possibility of funds portfolio, assets portfolio methods in a fund and performance evaluation in our country. But it is seldom reported how to structure a funds portfolio on empirical study. Through the empirical study on scale and methods of funds portfolio, I will try to introduce to our investors a practicable investment way when investing on funds.At first, I look backward about the history of portfolio, introduce the most advanced study achievement of the modern portfolio theory (MPT), and summarize funds portfolio methods and results of empirical study using MPT in chapter one.In chapter two, I discuss the possibility and necessity to make a fund portfolio through the empirical study on relation between the fund portfolio risk and portfolio scale. I find that the rational portfolio scale is between 8 and 12 funds. The result will help our fund investors to make fund portfolio.In the following three chapters, I apply Markowitz's M-V model, Sharpe's Single-Index model and equal-proportion model to the fund portfolio. On the conditions of selling short and limiting sell short, I can calculate each fund's investment weight on the aim of minimum the risk.Then I compare and analyze the results using Sharpe's measure, Treynor's measure and Jensen's measure. I find the following rules: (1) the portfolio effect of M-V model, Single-Index model and equal-proportion model are all better than the market's; (2) result of M-V model is better than Single-Index model's and equal-proportion model's, but we couldn't find the optimal solves on condition of selling short using M-V model; (3) the fund portfolio using...
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