Author(s)

Dongting Sui

Corresponding Author

Dongting Sui

ABSTRACT

The Markowitz Model has been proposed for 70 years, however, due to many constraints in the modern investment process, it is not possible to apply the Markowitz Model directly to modern investments. The aim of this paper is to address the deficiency of the Markowitz Model whose reference value has been reduced due to lacking consideration of various constraints in the modern investment process and to address the problem of the Markowitz Model being out of date in the modern investment process research. This paper uses the price data of 10 stocks in the NASDAQ for the latest 20 years and applies the Markowitz Model theory to obtain the optimal portfolio under the common constraints of modern investment, thus applying the Markowitz Model to modern investment situations. The result shows that the Markowitz Model can still arrive at a reliable optimal investment portfolio after considering various constraints. Markowitz's investment theory still has reliable guiding value in the modern investment process.

KEYWORDS

Markowitz Model, Modern investment, Optimal portfolio, Investment constraint