Notice of RetractionOptimal portfolio of minimizing CVaR for fractional Brownian motion

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

The fractional Brownian motion has played an increasingly important role in many elds of application. This paper is to study the application of fractional Brownian motion in optimal portfolio of risk assets. The CVaR explicit formula of portfolio for fractional Brownian motion is derived, then the mathematical model of optimal portfolio and the relative Newton numerical method are presented. In particular, an application to stock markets illustrates this procedure. The results show that the optimal portfolio of fractional Brownian motion is better than the optimal portfolio of standard Brownian motion in two aspects of mean return and extreme loss.