Study On Portfolio Selection Of China's Stock Market In Fuzzy Environment

In the year of 1952, Harry M Markowitz,the economics Nobel Laureate in 1990,firstly studied the selection of portfolio by using the method based on mean-variance analysis.His studies started the research of relationship between return and risk of financial asset based on quantitative analysis method.The research of relationship between return and risk of financial asset is always in the forefront of the field of Modern financial theory and Modern financial investment theory,and also attracts a lot of academics who committed to this field.The studies promoted the development of the theory of asset portfolio.China's stock market has been set up nearly twenty years,the stock market become more and more important role in the national economy. However,compared with mature markets,China's still have a lot of its own problems.Based on the characteristics of China's stock market,this paper,combined with the results of research both at home and abroad,studied the selection of portfolio.The stock market is full of vitality because of liquidity which is also one of the measures to determine the quality of the market. The improvement in liquidity not only contributes to make the market active and absorb the investors, but also is beneficial to stabilize the market price,guarantee the financial market to operate well and distribute the resources effectively. Moreover,it is proved that liquidity is one of the important deterministic factors of asset price.This paper based on the study of liquidity risk measurement—LVaR,this paper set up portfolio selection model,and make an example to verify.In fact we can't describe the character of stocks accurately because of many dubious factors in the stock market. So we give an estimate for stock's expectation yield and risk's,and use fuzzy number to describe its expected return rates and risk which make the model more significant.