文章基本信息

标题：The Optimal Portfolio Model Based on Mean-CVaR
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作者：Xing Yu ; Hongguo Sun ; Guohua Chen 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2011
卷号：1
期号：3
页码：132-134
DOI：10.4236/jmf.2011.13017
出版社：Scientific Research Publishing
摘要：This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio yield subject to heavy tail. We use fuzzy mathematics method to solve the multi-objectives model, and compare the model results to the case under the normal distribution yield assumption based on the portfolio VAR through empirical research. It is showed that our return is approximate to M-V model but risk is higher than M-V model. So it is illustrated that CVaR predicts the potential risk of the portfolio, which will help investors to cautious investment.
关键词：The Optimal Portfolio; VAR; CVAR; Multi-Objectives Programming; Fuzzy Mathematics Method