Download pdf
Application of Markowitz Model Equipped with Transaction Cost and Turnover Rate in Chinese Stock Market
- 1 Beijing Normal University-Hong Kong Baptist University United International College Zhuhai 519000, China
* Author to whom correspondence should be addressed.
Abstract
Because of the development of Chinese stock market in recent years, more and more investors have entered the market. The classic Markowitz model can provide investors with investment methods that have shortcomings in practical application. Therefore, the classic model is modified to add transaction costs and turnover rate limits suitable for the Chinese market. This paper aims to study the influence of the restriction on the model before and after the application of the model comparison results. The restriction can push the predicted result from time point to time period, and can be adjusted according to the actual situation.
Keywords
Markowitz Model, Transaction Cost, Turnover rate, Sharpe Ratio, Chinese stock market
[1]. Markowitz, H. (1952).Portfolio selection. The Journal of Finance,7(1),77–91.
[2]. Markowitz, H. (1959).Portfolio Selection, Efficient Diversification of Investments. J. Wiley
[3]. Kulali, I. (2016). Portfolio optimization analysis with Markowitz quadratic mean-variance model. European Journal of Business and Management, 8(7), 73-79.
[4]. Ivanova, M., & Dospatliev, L. (2017). Application of Markowitz portfolio optimization on Bulgarian stock market from 2013 to 2016. International Journal of Pure and Applied Mathematics, 117(2), 291-307.
[5]. de Melo Neto, J. J., & Fontgalland, I. L. (2022). Share portfolio advisory: Use of the Markowitz method to optimize the risk/return ratio in individual investor shares portfolio. Research, Society and Development, 11(2), e26011225921-e26011225921.
[6]. Li J, Peng Y, & Cao XZ. (2017). Research on the optimal investment portfolio of corporate annuities based on investment constraints. Financial Theory and Practice (7), 4.
[7]. Li, Shu-Li. (2020). A study of Markowitz portfolio model with mean and variance changes. Bohai Rim Economic Outlook (2), 2.
[8]. Iqbal, J., Sandhu, M. A., Amin, S., & Manzoor, A. (2019). Portfolio Selection and Optimization through Neural Networks and Markowitz Model: A Case of Pakistan Stock Exchange Listed Companies. Review of Economics and Development Studies, 5(1), 183-196.
[9]. Yu, H.& Li, L.(2013). Markowitz’s Portfolio Model and Its Empirical Research Based on Security Market in China. Journal of Gansu Sciences,25(3),146–149.
[10]. Altman, E. I., & Saunders, A. (1997). Credit risk measurement: Developments over the last 20 years. Journal of banking & finance, 21(11-12), 1721-1742.
Cite this article
Yang,Y. (2023). Application of Markowitz Model Equipped with Transaction Cost and Turnover Rate in Chinese Stock Market. Advances in Economics, Management and Political Sciences,3,489-496.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
Disclaimer/Publisher's Note
The statements, opinions and data contained in all publications are solely those of the individual author(s) and contributor(s) and not of EWA Publishing and/or the editor(s). EWA Publishing and/or the editor(s) disclaim responsibility for any injury to people or property resulting from any ideas, methods, instructions or products referred to in the content.
About volume
Volume title: Proceedings of the 6th International Conference on Economic Management and Green Development (ICEMGD 2022), Part Ⅰ
© 2024 by the author(s). Licensee EWA Publishing, Oxford, UK. This article is an open access article distributed under the terms and
conditions of the Creative Commons Attribution (CC BY) license. Authors who
publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons
Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this
series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published
version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial
publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and
during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See
Open access policy for details).