Study Of The Dynamic Portfolio Model With Capital-at-Risk

The paper unify portfolios expected terminal wealth,the risk measure indicators(Capital-at-Risk,CaR) and the fiduciary level of optimal portfolios,with the help ofMarkwitz's and Sharpe's method,under Black-Scholes money market setting, VaR or EaRor Var is replaced by CaR, the classical M-V model extends to the continuous time fi-nancial market and construct the Mean-CaR model of the optimal dynamic portfoliosdepending on the continuous time settings. on the other hand, two kinds of new Capital-at Risk are studied, and the explicit expression of best constant rebalanced portfolioinvestment strategy in the new Mean-CaR model and the e?cient frontier of Mean-CaRare got. Meanwhile,we discuss optimal solution and the applicable scope of the model,weknow that the investment's proportion of risk capital of the di?erent Mean-CaR dynamicportfolios model only has di?erence constant time. Theose models is a dynamic expansionof Static single cycle portfolios models.By empirical analysis we can see that those modelcan operate in reality and can put forward the concrete suggestion for the finance andinvestment.