A portfolio optimization model based on structural classification

We structured classified the securities and portfolio optimization from different particles, and established the portfolio optimization model based on structural classification which can take the industry factors into consideration when making investment decisions. With the structured model, we can optimize the selection of different types of assets and control the number of assets in the portfolio. We select the actual stock market historical data for empirical analysis and compare the result of our model with the one of the mean-variance model. The experimental results show the effectiveness of our model.