Portfolio Optimization Uniform Model

Since 1952 the Markowitz's mean-variance portfolio theory inception, sur-rounding this issue which how to measure risks, it has generated a lot of risk mea-surement methods and bring a lot of portfolio models, such as Mean-Semivariancemethods, Mean-Downside Risk methods, Mean-Absolute Deviation methods,Mean-Absolute Semideviation methods, Mean-Absolute Downside Risk, and soon. 1999, Duarte proposed a portfolio optimization uniform model that unifiedthe six methodologies mentioned above. From the perspective of theory, it is aclassification of the large number of the portfolio models in accordance with theirinherent mathematical structure. From the perspective of calculating, it to dealwith the six separate calculations in unified basis, and enhanced computing e?-ciency, facilitate practical application, reducing confusion that many complicatedmodels giving to investors. This article spread the Duarte's single-period unifiedmodel and created two-period portfolio optimization uniform model. Meanwhile,it absorbed the Mean-CVaR portfolio optimization model into portfolio optimiza-tion uniform model and created a portfolio optimization uniform model contain-ing CVaR. Finally this article proposed an iterative solutionin for our model onthe basis of the basic idea of Newton Law and the Monteiro and Adler's methods.