Markowitz Mean Variance Model In The Application Of China's Stock Market

This paper first introduces the history of the development of the Markowitz mean-variance model, the basic ideas and researching methods, especially presenting on the introduction of concepts of return and risk, the relationship between them and the basic derivation of the model, which is divided into two categories, the one only involving risky assets and the one also having risk-free assets.Then the basic mean-variance model is applied in the Chinese A-share market. And the problems of how to select the investment targets and how to decide the investment timing are discussed carefully. The first one is explained by comparing the standard of choosing stocks; and the second problem that how to decide the adjustment time and holding period is illustrated by using the Repeated Adjustment Act. Given the variance (or standard deviation) measuring methods of risk having been challenging all the time, this paper uses some models that using other variables to measure risk, such as VaR and LPM, and then draws the efficient frontiers and compares them.Finally, this article has done some comparison about the "application efficiency" between the three models, which can’t be compared by the position of different efficient frontiers in the coordinate axis.