A Research About Investment Strategy On The A-Share Market Of China For Individual Investors

The A-Share market of China is important venues of financial investment for the individual investor. Some of the individual investors don’t have professional knowledge of investment analysis, so they can’t obtain steady profits in the trade market. Therefore, a research about investment strategy which can bring high returns has important theoretic significance and practical value. The main research contents are as follows:(1)Three investment strategies are presented based on the technical analysis, and the empirical analysis method is used to research. The first one is an investment strategy of EXPMA which used to test the effectiveness in the Shanghai composite index. The second one is an investment strategy of improved EXPMA which used to test the effectiveness in the individual share. The third one is an ultra-short-term investment strategy which is based on the first two strategies and specifically used for individual investors with a small amount of money, the empirical results show that this strategy has a commendable income for individual investors.(2)Individual investors who have a relatively large amount of money need to diversify investment, this thesis construct two portfolio models in order to calculate the optimal investment proportion of individual stocks. A portfolio model is build to consider the actual need of investors, which consist of the requirement of the minimum income and the constraints of the maximum number of invest stocks, then the problem are solved by generalized Benders decomposition, the empirical analysis is consistent with the theoretical expectation. In order to strengthen risk control, and with the consideration of the actual situation of the A-share market, a model is build to consider the trading rules of A-Share, which consist of the influence of the transaction costs, the value-at-risk(VaR) constraint and the minimum trading unit. This model uses the simulated annealing algorithm to solve, and the risks and benefits of investors who have different risk preferences are compared and analysed, the empirical analysis shows that the results of the model are satisfactory. Finally, an investment strategy for large funds are constructed which combined technical analysis and investment portfolio, this strategy provides new ideas for individual investors to benefit t in the A-share market.