Application of Markowitz's Portfolio Theory in Obtaining the Best Portfolio in the Stock Market

Abstract

The article mainly explores the mean-variance model proposed by Markowitz, and then applies it to the concept of contemporary securities investment. Investors can find the historical average weekly interest rate and covariance matrix of each stock in the A-share market, use Markowitz's investment concept model, and then use mathematics such as Matlab to calculate the collection of portfolio. After the study we find that Markowitz proposed portfolio concept has a specific using value in the domestic A-share market, but in practice it also has some shortcomings. Keywords—Markowitz mean-variance model; Mean; Variance; Covariance; Optimal portfolio