The Application Study On Revised Markowitz Model In Modern Financial Portfolio Selection

With the Markowitz Portfolio Model widely used in the asset allocation and the investment decision, how to obtain the optimal investment decision under certain constraint qualifications has become a hot topic widely investigated by many researchers. However, there was not much attention paid to the study of optimization model considering the china economic circumstance, the feature of china investment circumstance, the specific restrictions on the maximum capital, the minimum income guarantee and the per-unit risk. Therefore, the Revised Markowitz Portfo-lio Model is studied by considering the capital restriction for most of the investor and the feature of risk preferences.Firstly, the preliminaries of the thesis and the definitions of the per-unit risk of capital are introduced. Then the Classical Mean variance Model and the relevant conclusions are also introduced for the comparison between the conclusions presented in thesis and the classical ones.Secondly, two Revised Markowitz Portfolio Model under the equality constraint with pa-rameters were proposed. Then the equivalent conditions of the two revised models, the optimal investment decision, the risk of financial portfolio and the corresponding per-unit risk of capital are presented by proving the four theorems. In addition, the reasonability and correctness of the proposed theorems were validated by the case study and the numerical simulation experiments.Thirdly, according to the china economic circumstance, the Revised Markowitz Portfolio Model is presented by considering the investment ability and the risk bearing capacity of most investor, the restriction of initial capital and the minimum income guarantee. Then the concept of the capital variance efficient frontier is defined. The optimal investment decision and the relevant conclusions are obtained based on the two lemmas and the two corollaries.Finally, the case study results show that it is reasonable and practicable to apply the revised models in the asset allocation and the investment decision. It is useful for the investor to make the optimal investment decisions under the conditions of capital, the income and the per-unit risk.