Journal of Mathematical Finance

Volume 1, Issue 3 (November 2011)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 1.03  Citations  h5-index & Ranking

The Optimal Portfolio Model Based on Mean-CVaR

   PP. 132-134  
DOI: 10.4236/jmf.2011.13017    5,037 Downloads   9,768 Views   Citations

ABSTRACT

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.

Cite this paper

X. Yu, H. Sun and G. Chen, "The Optimal Portfolio Model Based on Mean-CVaR," Journal of Mathematical Finance, Vol. 1 No. 3, 2011, pp. 132-134. doi: 10.4236/jmf.2011.13017.

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