| In 1952,Markowitz proposed the classic modern portfolio theory and provided a mean variance mathematical model for portfolios,which became the beginning of modern portfolio theory,further developing portfolio theory and realizing the transformation from qualitative analysis to quantitative analysis.In 1990,the official establishment of the Shanghai Stock Exchange in China marked the beginning of the development of the Chinese securities market and opened the prelude to the Chinese securities market.With the continuous development of the past thirty years,the Chinese securities market has made tremendous breakthroughs.Nowadays,securities investment has spread in vision of people,and the issue of portfolio returns has become the subject of more and more research of scholars.In the investment process,investors often choose one of the most satisfactory investment portfolios after continuous screening of assets.Therefore,how to choose the appropriate investment portfolio is a focus of this article.The mean-variance portfolio model of Markowitz is proposed based on eight assumptions and is suitable for complete markets.But in reality,a complete market does not exist,which means that no market can be a complete market.For the trading market in China,this theory and the mean-variance portfolio model cannot be directly applied.Instead,it is necessary to make certain improvements to the Markowitz mean-variance portfolio model based on the actual trading situation in different trading markets in China.According to different trading rules,new constraints are added to the model to restrict investment behavior,making the investment portfolio model more realistic and the investment portfolio obtained by investors has higher rationality.In the study,some major market constraints were added to the model based on the Chinese market,such as the prohibition of short selling and buying constraints,minimum buying unit constraints,and funding constraints.In addition to the constraints of trading rules,the mean-variance portfolio model of Markowitz also does not consider transaction costs.there are various transaction costs in the investment process for investors when buying and selling assets.The collection of these transaction fees will also affect investors’ allocation of assets,thereby affecting their returns.In order to enable investors to obtain greater returns,it is necessary to consider transaction costs in the model,and the main transaction costs in the Chinese market include stamp duty,commission,transaction fees,and transfer fees.According to the portfolio model theory of Markowitz and considering transaction costs,a new multi-stage portfolio model with multiple transaction costs is established which based on the actual constraints of the Chinese market.The improved particle swarm optimization algorithm is used to analyze and solve the newly established multi-stage portfolio optimization model,and the optimal investment strategy suitable for investors is obtained.The practicality and effectiveness of the model were verified by combining actual data in the Chinese market.The example application shows that the obtained investment strategy conforms to the investment behavior of investors,and the proposed model is reasonable and practical,which can provide assistance for investors in selecting asset portfolios. |
