Portfolio Optimization Model Of Conditional Value-at-Risk

In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail; meanwhile, method of Value at Risk itself cannot correspond with subadditivity, all of which make local optimal not be the whole optimal when selecting the optimal portfolio. For these problems, proceed from the theory for coherent risk measurement, we put forward a new technique of risk measure-Conditional Value at Risk(CVaR)-to measure market risk of portfolio, on which we build portfolio optimization model of Conditional Value at Risk and select the optimal portfolio with linear programming. Lastly, by applied studies, we find the fact that final result by selecting the optimal portfolio based on optimal model of Conditional Value at Risk is better than that of on optimal model of Value at Risk.