The Application Of Portfolio In Chinese Stock Market

When people make investments in securities, they often face with such a problem:they should choose which types of ones in a wide variety of securities, how to allocate the investment ratio in these types of securities in order to make the benefits and risks of the investment portfolio to achieve their optimal level of satisfaction.In 1952, the American economist Markowitz published a paper on "Finance" magazine article and the paper entitled "Portfolio Selection", in this article he used the Expected rate of return and variance of the risk assets to study the problem of how to select and compose assets, which be seen as the starting point of modern portfolio theory, and the model he proposed is called Markowitz mean-variance model. Subsequently, many foreign scholars have been studied and discussed his theory, and developed many new theories. With the opening of China's financial market, more and more scholars of our country have also started to study the modern portfolio theory.In this paper, we study how the portfolio theory is used in China's stock market, in four parts:The first part mainly introduces the background knowledge of portfolio theory. The second part introduces some theoretical knowledge of modern portfolio theory, focusing on the Markowitz mean-variance model. The third part is the empirical part, we select ten stocks from Chinese stock markets, and use Markowitz mean-variance model derived the efficient frontier about how to select and distribute the stock portfolio, both in the case of against short-selling and admit short-selling. The fourth part is the conclusion:when we apply the portfolio theory to our stock market for equities, we can get some of the best stock portfolio, these stocks portfolio stand we can get the maximize returns with certain risk level or the minimum risk with certain income; in the case of the same expected return, the more the number of stocks in the portfolio, the less the risk will be; when we invest in stock, returns and risks are always coexist, high yield always accompanied by high-risk high.