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《The Ideological Front》 2003-01
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An Empirical Test of the Efficient Frontier in China's Stock Market

GUO Shu-hua, FU Qing-hua(School of Economics, Yunnan University, Kunming, Yunnan, 650091,China)  
The paper estimates the efficient frontiers of Shanghai and Shenzhen stock markets using the Markowitz model. The result shows that the efficient portfolios of the Markowitz model are not only better than the single security and the random simple equal-weighted portfolios, but also better than the average performance of the stock market. Thus a conclusion is drawn that the Markowitz portfolio theory has a practical value to China's stock market.
【CateGory Index】: F832.5
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【Co-citations】
Chinese Journal Full-text Database 4 Hits
1 TANG Zhu-qing(The middle school attached QuFu Normal University,QuFu 273165,China);Markowitz mean-variance model with vary rate of trading volume[J];Journal of University of Science and Technology Liaoning;2010-01
2 GAO Ping;Portfolio Positive Study of Shanghai and Shenzhen Security Markets[J];Journal of East China Normal University(Philosophy and Social Sciences);2000-03
3 Zhenxi Wen Qiuxiang Bi;Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model[J];South China Journal of Economics;2006-11
4 CAO Xing, PENG Geng (School of Business, Central South University, Changsha 410083, China);Efficient application of markowitz portfolio theory in security market of China[J];Journal of Central South University(Social Science);2003-06
【Co-references】
Chinese Journal Full-text Database 10 Hits
1 JING Bai-xiang~1 REN Wei~2 WANG Wei-hua~3 (Business School of Xiangtan University,Xiangtan 411105,China);Analysis on the Relationship Between Money Supply and Economy in China[J];Journal of Anhui Business College of Vocational Technology;2005-04
2 WU Guangxu CHENG Qiansheng (Department of Mathematics,School of Mathematical Sciences,Peking University,Beijing,100871) PAN Jiazhu (Department of Financial Mathematics,School of Mathematical Sciences,Peking University,Beijing,100871);Nonparametric Estimation of Value-at-Risk of Chinese Stock Market[J];Acta Scicentiarum Naturalum Universitis Pekinesis;2004-05
3 LI Xu-dan (Department of Finance and Economics, GuangDong Polytechnic Normal University, 510665);Positive Research of the Seasonal Fluctuation From 1992 to 2001 of Stock Market[J];Commercial Research;2003-16
4 WANG Yang,XU He-fang (School of Business Administration,South China University of Technology,Guangzhou Guang dong 510640,China);Research on Aggressive Portfolio Strategy in All stock Circulating Situation of China's Stock Market——Method and Thought of Choosing Aggressive/Negative Portfolio Strategy[J];Research on Financial and Economic Issues;2006-06
5 LI Min 1,ZHOU Jie zhong 1,LI Jun ping 1,LIANG Jian wu 2 (1. Research Department,Changsha Railway University,Changsha 410075,China;2. Center for Modern Education Approch, Changsha Railway University,Changsha 410075,China);Predicting Securities Market in Shanghai and Shenzhen by ARMA Model[J];JOURNAL OF CHANGSHA RAILWAY UNIVERSITY;2000-01
6 LU Jiang-lin&ZHU Huai-zhen(Finance School of Jiangxi University of Economics&Finance, Nanchang 330013, China);The Positivist Research of Stock Market's influence to Monetary Policy[J];Contemporary Finance & Economics;2004-11
7 XU Jin, HOU Xiao-yang (School of Economics and Finance, Hong Kong University, China; Business School, Hong Kong University of Science and Technology, China);Empirical Study on Herding Behavior of Chinese Securities Investment Funds[J];Modern Economic Science;2004-06
8 CHEN Wei-yun~(1),HUANG Man-hui()~(2),WU Yong()~(1)(1.Clollege of Economics and Business Administration, Chongqing University,Chongqing 400030,China;2.GuandongBusinessCollege,Guangzhou 510088,China);Empirical Analysis on Return Distribution and Price-volume of SZCI[J];Journal of Chongqing University(Natural Science Edition);2005-01
9 BI Qiu xiang 1, LI Ji feng 2 (1. Postdoctoral R&D Base,GF Securities Co.,Ltd.,Guangzhou 510075,China; 2. Baoshan Branch of TV University,Shanghai 200940,China);Comparison of Risk and Return between Chinese Stock Markets and Other Countries[J];Systems Engineering;2003-04
10 Wu Liguang;Potential Benefits from International Portfolio Diversification and Implications for QDII Investments[J];Studies of International Finance;2010-05
【Secondary References】
Chinese Journal Full-text Database 1 Hits
1 Li Xin-yu1,Fu Li-sha2(School of Economics Peking University,Beijing 100871; 2.CNOOC Petroleum and Chemical Import & Export Company,Ltd.,Beijing 100010);Dynamic Insurance Asset Allocation Model Based on Black-Litterman Model[J];Insurance Studies;2013-03
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