The Optimal Portfolio Model Based on Mean-CVaR - Journal of Mathematical Finance

Home > Journals > Business & Economics | Physics & Mathematics > JMF

JMF> Vol.1 No.3, November 2011

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

Open Access

The Optimal Portfolio Model Based on Mean-CVaR

PP. 132-134

DOI: 10.4236/jmf.2011.13017 5,037 Downloads 9,768 Views Citations

Author(s)

Xing Yu, Hongguo Sun, Guohua Chen

Affiliation(s)

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.

KEYWORDS

The Optimal Portfolio, VAR, CVAR, Multi-Objectives Programming, Fuzzy Mathematics Method

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.

Cited by

[1]	Optimal Asset Allocation for a Mean-Variance-CVaR Insurer under Regulatory Constraints
	2019

[2]	A Multi-Objective Model for Optimizing Staffing Across Geographically Distributed Patient Centered Medical Homes
	2019

[3]	Spatial and Temporal Optimization Strategy for Plug-In Electric Vehicle Charging to Mitigate Impacts on Distribution Network
	Energies, 2018

[4]	A New Opportunity of Bitcoin for Improving Portfolio Efficiency in Japan
	Master's Thesis, 2017

[5]	Portfolio Optimization with Application in Matlab
	2017

[6]	A Modified Mean-variance-conditional Value at Risk Model of Multi-objective Portfolio Optimization with an Application in Finance
	Thesis, 2014

[7]	Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method
	Mathematical Problems in Engineering, 2014

[8]	Mídias radicais ea utilização do Culture Jamming: quebrando as barreiras construídas pelos veículos hegemônicos
	2012

[9]	Análise de risco em carteiras
	Repositório Institucional UNESP, 2012