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2010•Journal of Chongqing Technology and Business UniversityRequires access

Optimal Model of Investment Portfolio Based on CVaR and Empirical Analysis

Baosen Wang

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Abstract

Taking conditional value at risk,CVaR,as risk measurement,this paper sets up a quadratic program model with CVaR as objective function and with VaR as constraint condition,and this model gives optimal choice of investment portfolio that makes CVaR minimum value under the condition of VaR risk level that decision-makers can accept.The examples show that this model has obtained the best choice of investment portfolio and reduced the possibility of catastrophic risk of the portfolio.

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What this paper is about

Taking conditional value at risk,CVaR,as risk measurement,this paper sets up a quadratic program model with CVaR as objective function and with VaR as constraint condition,and this model gives optimal choice of investment portfolio that makes CVaR minimum value under the condition of VaR risk level that decision-makers can accept.The examples show that this model has obtained the best choice of investment portfolio and reduced the possibility of catastrophic risk of the portfolio.

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Available abstract

Taking conditional value at risk,CVaR,as risk measurement,this paper sets up a quadratic program model with CVaR as objective function and with VaR as constraint condition,and this model gives optimal choice of investment portfolio that makes CVaR minimum value under the condition of VaR risk level that decision-makers can accept.The examples show that this model has obtained the best choice of investment portfolio and reduced the possibility of catastrophic risk of the portfolio.

Key concepts: CVAR, Portfolio, Expected shortfall, Portfolio optimization, Investment (military), Constraint (computer-aided design), Econometrics, Economics

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