An Empirical Investigation of Portfolio Optimisation Using the Markowitz Model

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The optimized portfolio produces a more effective return over trading days, enhancing investment strategy.
Optimal stock weights were determined using the mean-variance optimisation approach, balancing yield and risk.
Employing purposive sampling, various stocks were assessed for their historical performance and risk-return profiles.
The portfolio included diversified companies, ensuring coverage across sectors for balanced investment risk.

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Analysis shows improved return-risk balance in optimized portfolios on the Shanghai Stock Exchange, indicating benefits for investors.

Y.X. Ni (2025) studied this question.

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