Portfolio Selection Model On CVaR

During these years the economic of China develop sostenuto and rapidly, not only greatly improve the people's living standard and also make the various financial investment methods,Financial products and financial words gone to the lives of ordinary people.Especially in the past 2007,with the stock market of China into the bull market after obsession for so many years,stock has become the focus of investment for ordinary people and various financial institutions.Equity investment has gone into the people's life as one of the most common way of investment.However,investment of shares is a high-yield and high-risk financial investment activity,how to increase revenue and effective control and measure the investment risk at the same time has become the focus of common concern for common people,investment institutions and the fault of academia.To overcome shortcomings of existing portfolio selection models and the method of investment measure,established in this paper is an new model of stock investment and management which utilizes the advanced risk measure CVaR and takes into consideration several market frictions simultaneously,has made two different tests of the quantitative and empirical comparison.After the test combined with the practical operation of the Social Security Fund 109 Portfolio Empirical Comparison basing trading data from the China Stock Market,The earning of new model portfolio increase and the VaR results of new combination show that the risk control of new model is in an ideal range.It means that the new model can help investors to seek the best investment portfolio and can make better supervision of risk control and investment management.After the test combined with the absolute deviation model-MAD,the new model also show a reasonable distribution of investment,significantly improving revenue and the ability to better control the risk and so on.The new model not only can be a reasonable reflection of different investment constraints on the impact of optimal investment decisions,but also can provide an ideal investment advice for investment.