Study On Portfolio Model Under The Restraint Condition

China’s securities market started from the1990s. Although itexperienced for about20years of rapid development, there still exits a gapcomparing with that of America and the European countries. Therefore, theresearch of how to apply the theoretical results of foreign scholars to China’sstock market has important theoretical and practical significance. In theresearch area of portfolio, the classical portfolio model presented by HarryMarkowitz became the symbol and the core of modern portfolio theory.However, it cannot be applied to China’s securities market directly. Theresearch of how the portfolio model could be used into China’s securitiesmarket is the key point of this article.In this article, we attempt to do some useful exploration of investmentdecision methods that could accord with China’s securities market. Someappropriate improvements are made to the assumptions of Markowitz’sportfolio model according to the actual situation. Since the Chinese laws do not allow fictitious transaction, we add the constraints of transaction costs,minimum transaction unit and investment capital limit into the portfoliomodel and three kinds of models are established according to differentinvestors’ preferences. We use the genetic algorithms to solve these models asGA has strong ability of random searching in settling function optimizationproblems. At last, actual transaction data that elected from China stockmarket are calculated and analyzed in order to prove the validity of themodels that built in this article. The study mentioned above could completeand supplement the portfolio theory of Markowitz to a certain degree and itcould also play a positive role of helping people to do investment in actualsecurities markets. Therefore, this study has positive theoretical and practicalsignificance.