The Portfolio Theory And Empirical Research Based On Conditional Value-at-risk

The paper uses the risk measure method of CVaR (Conditional Value -at-Risk) instead of variance. CVaR is developed on the basis of VaR. CVaR is better to reflect the potential risk than VaR . The main research of this paper is the theory of portfolio based on CVaR.First, comparing with the mean--- variance ,under normal distribution condition,it puts forward the mean - --CVaR and gives the solve implicit about it.Then it studies the efficient frontier of the model and gives the proof .The paper studies the effect of some constraints on the efficient frontier of mean---CVaR, such as believedegree and trans -action cost.And it analyzes the sensitivity of the model and gets the drift of the efficient frontier of mean---CVaR in the case of increasing a new stock .On the base of the theory,at last it empiricaly studies the effect of some constraints on the efficient frontier of mean---CVaR and the drift the efficient frontier of mean---CVaR in the case of increasing a new stock.