Abstract
Modern portfolio theory is one of the most classic theories in financial investment theory. It was first released by a famous economist, Markowitz. As the most important critical model in investment science, it provides investors with scientific investment allocation methods, which are favored by many investors. It has been widely used and researched in the world. Modern portfolio theory analyses the historical returns of investment objects and guides future investment behavior. However, it is still controversial whether this theory is reasonable and adequate in Chinas stock market. China's stock market is more susceptible to fluctuations than those in Europe and the US, and many of these factors stem from China's strategic policies in various areas. Since the end of the epidemic, China's economic development has also slowed down. In this context, this paper will construct the maximum Sharpe ratio strategy, market capitalization strategy, and average weight strategy. Through the performance evaluation indexes of these three strategies' performance comparison, this paper will verify whether the portfolio strategy is real and effective in China's stock market and can bring more than significant market returns to investors.
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