• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Semiannually
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Inez. Chan

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HOME > Archive > 2025 > Volume 16 Number 1 (2025) >
IJTEF 2025 Vol.16(1): 139-144
DOI: 10.18178/ijtef.2025.16.1.782

Application of Modern Portfolio Theory on the China Stock Market from 2018–2022

Zanwen Zhao
Stephenson College, University of Durham, Durham, UK
Email: zanwenzhao@hotmail.com

Manuscript received May 11, 2024; accepted November 26, 2024; published April 18,2025

Abstract—Modern portfolio theory is the theory of investment that allows the investor to construct a portfolio that maximizes the expected returns for the given risk level. With the medium of this report, the main intention is to present the application of the modern portfolio theory on the stock market of China. For this purpose, the data is collected between 2018-2020. The portfolio undertakes the 10 listed companies’ stock for the Chinese stock exchange that is Shanghai Stock Exchange. The three portfolios have been prepared with the allocation of these 10 stocks. First, the minimum variance portfolio, Secondly, the maximum returns portfolio and lastly, the optimal portfolio maximizing the Sharpe ratio has been generated. For all three portfolios, the efficient frontier has also been generated. The results of the portfolio stated that the MVP has the highest risk with low returns, while the maximum returns portfolio has the highest returns with low risk and lastly the optimal portfolio provides the highest risk-adjusted returns.


Keywords—Chinese stock market, modern portfolio theory, portfolio optimization risk-adjusted returns, Sharpe ratio


Cite: Zanwen Zhao, "Application of Modern Portfolio Theory on the China Stock Market from 2018–2022," International Journal of Trade, Economics and Finance, vol.16, no.1, pp. 139-144, 2025.


Copyright © 2025 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).



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