CVaR Method In Investment Profolio Risk Management Applied Research

The risk measure method of Conditional Value-at-Risk is developed on basis of the shortcoming of Value-at-Risk method, which is raised by Rockafellar at 1999. The implication of CVaR is the conditional loss over VaR of portfolio, which reflects the average exceed quota. CVaR method reflects underlying loss better than VaR method.This paper has studied CVaR risk measuring technique in the investment profolio theory utilization, in the research process, makes every effort using research technique and so on system theory, induction deduction, comparison and real diagnosis analysis studies this question. Firstly, the paper totally introduces all kinds of traditional risk measure methods and then analyses the defects of these methods, then puts forward CVaR risk measure method, introduces and analyses the definition, the parameter selecting, the calculation, the properties and applications and so on. The conclusion is that CVaR is better than the traditional methods and CVaR method is a coherent risk measure method. Secondly, the paper studies the application of CVaR in portfolio theory, which is also the new idea of this paper, proposed some property to the combination marginal contribution, that is M -CVaR, in the combination some property the proportion which occupies in the combination, that is C - CVaR, as well as a new property joining to existing combination value influence, that is I - CVaR .These risk information are extremely important to the risk management, are helpful in distinguish in the complete risk exposition the risk main origin, for the improvement overall risk condition, the appraisal opportunities for investment, the analysis property adjustment to combined the risk the influence as well as the establishment cash quota has provided the extremely useful information. M -CVaR, C - CVaR and I - CVaR, these method of analyze portfolio risk are helpful renew for P - CVaR method. Then choose data of fund yuyang in the first quarter of 2005, account M-CVaR, C-CVaR and I - CVaR, of the stocks of fund yuyang, get adjust strategy through these risk information, and compare portfolio risk before and after adjustment, the result is that portfolio of after adjustment has more income and few risk. Therefore, may use CVaR method in the...