Research On Portfolic Model Design And Application Based On CVaR

This paper analyzes the nature of risks,as well as the formation and development of portfolio theory.We systematically analysis the advantages and the weaknesses of classical risk management measurement,for example,risk measurement models based on the utility function,the mean-variance model,the theory of~βvalue and lower partial moments. Compared with those above theoretical model,the portfolio model based on VaR can accurately calculate the value at risk.However,VaR is not satisfied with the principle of consistency through portfolio research.Besides the advantages of VaR,it has been shown that CVaR is a coherent risk measure.In addition,the optimization problem can be transformed into linear programming.Therefore,we studied portfolio base on the theory of CVaR,and given the empirical analysis of portfolio optimization.The empirical results showed that,CVaR can be able to better control risk.