The Research Of The Application Of Financial Risk Measure Model Of The Portfolio In Stock Market

Portfolios theory is one of the important research contents in Economics. Investigating measure theories of risk and approach of securities portfolio, in order to control finance risk and stabilize finance system, is a common and important undertaking. H. Markowiz put forward to mean-variance model for portfolio selection at the earliest stage in 1952. This theory was through the development of more than 40 years, having become the theoretical core in modern portfolios. Different from Markowiz's risk methodology , VaR(Value-at-Risk) and CVaR(Conditional Value-at-Risk) presented in resent years are new approaches to estimate market risks. Because of its eminent properties, CVaR is paid more attention by more and more researchers in particular, as it can reflects underlying loss better than VaR. CVaR becomes a latest research content in financial risk management.This paper focuses on the applications of CVaR in the portfolio theory. First, I introduce the investment theory and the development of risk measure. Then I also introduce the definition,calculation,advantages and disadvantages of VaR. In order to overcome VaR's shortage, I discuss the definition,calculation and nature of CVaR in detail. Based on the introduction of the efficient boundary and two-fund separation theorem in mean-variance, the mean-CVaR model under the assumption of normality of risk securities is studied, and the two-fund separation theorem in mean-CVaR and the corresponding properties are proposed, and the comparison between the mean-CVaR model and mean-variance model is provided. Finally, I present an example that demonstrates how the mean-CVaR model can be used efficiently to guide investment decisions.