Application of Mean-CVaR Optimization Model in Investment Portfolio
A mean-CVaR optimization model about invest portfolio which is adopt to Chinese stock market is established based on the method of CVaR within the frame work of risk measurement theory. We receive the effective border of the mean-CVaR model by computing the ratio of the minimum risk CVaR. According to the fixed rate of return under given confidence level on the basis of recent data in actual stock market, the optimal portfolio is calculated. The results show that mean-CVaR optimization model fits the portfolio selection better.
CVaR portfolio efficient frontier measure of risk
Yuling Wang Junhai Ma
School of Management Tianjin University China School of Management Tianjin University of Commerce Ch School of Management Tianjin University China
国际会议
长春
英文
255-258
2010-08-24（万方平台首次上网日期，不代表论文的发表时间）