Empirical Research about a Portfolio Optimization Problem with Multiple Investment Constraints
多约束投资组合优化问题的实证研究

In order to avoid rigorous assumptions in the classical MV model and to overcome shortcomings that only some of investment constraints were included in existing papers aimed at improving the MV model, a generalized MV model with multiple investment constraints is established in this paper by simultaneously considering various investment restrictions in real economic activities. After discussing how to efficiently solve the derived portfolio selection model, empirical research is carried out by using trading data from the Chinese stock markets. Empirical results show that: the proposed new model is not only reasonable and efficient, but can properly guide investors to select the optimal and robust investment strategy.