Empirical Research of Investment Management in Chinese A-Share Market Based on Markowitz Mean-variance Model and Harlow's Optima LPM' Portfolio Model

The crucial question of investment management is the measurement of risk and return Markowitz mean-variance model and Harlow's optimal LPM' portfolio model are two us' investment management models with different methods of risk measure. The different method; risk measure make the two models have their own special features; Markowitz mean-variance me emphasizes the objective risk-return characteristics of assets, Harlow's optimal LPM' portfolio me highlights the subjective expectancies of investors. So, using the two models in combination may more effective method to make investment decisions. This paper firstly introduces the feature Markowitz mean-variance model and Harlow's optimal LPM' portfolio model, especially differences of risk measures. Then, this paper takes the Chinese A-share market as the research ob and collects a certain amount of stock exchange data to do an empirical research based on the investment management models. Finally, we use MATLAB to solve the optimal portfolios propose the scientific investment decisions in Chinese A-share Market.