Interactive Decision Making Method Based on Improved Mean-Variance Model for Portfolio

For the investors, how to allocate a certain amount of capital to a set of assets in order to get higher gain at the cost of lower risk is their first concern. With respect to the universality and significant influence of transactional costs in Chinese investment market, and the facts that most investors in China are risk aversive, an improved MV model, which involves transactional cost and risk-free asset, was established. Based on the model, an interactive decision process was designed to assist an investor in choosing his most satisfied investment plan from the effective frontier. The application of the model was verified by the actual data of Shanghai and Shenzhen A-share Main Board Market. The experimental results showed that an investor could use the improved portfolio MV model to choose the investment plan closest to his needs by the interactive decision process.