Title :
Application of mean-CVaR optimization model in investment portfolio
Author :
Wang, Yuling ; Ma, Junhai
Author_Institution :
Sch. of Manage., Tianjin Univ., Tianjin, China
Abstract :
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.
Keywords :
investment; optimisation; risk management; stock markets; Chinese stock market; conditional value at risk; investment portfolio; mean-CVaR optimization model; risk measurement theory; Software; CVaR; efficient frontier; measure of risk; portfolio;
Conference_Titel :
Computer, Mechatronics, Control and Electronic Engineering (CMCE), 2010 International Conference on
Conference_Location :
Changchun
Print_ISBN :
978-1-4244-7957-3
DOI :
10.1109/CMCE.2010.5609867
