Empirical Analysis of Investment Portfolio Based on Bi-objective

Guided by H.M.M. Markowitz portfolio theory, this paper postulates that the security market permits or prohibit short sale. Then based on the bi-objective of the maximal return at minimal risk, this paper sets up the investment utility function through linear weighted sums method, and makes first derivation about the function by method of Lagrange multiplier and determines the vector of investment proportion.