Based On The Mean-cvar Portfolio Optimization Problem

Portfolio optimization studies the investors how to achieve minimum risk under the defined benefit level or maximum benefit under the given level of risk through reasonable distribution of funds. That is how to select the optimal portfolio. At present, the theory as the main analytical tool has been widely used in the investment and financial management. Portfolio optimization theory can not only guide investors to make scientific investment decisions, but also the financial investment is a real scientific management.In the basis of existing research results, the paper based on CVaR ways to build mean-CVaR portfolio optimization model. Then select 10 stocks from the sample stocks in the SSE 50 Index to research and analyze the results. Then, we compared the mean-CVaR model with the Mean-Variance model, choose a better measure under the same confidence level. The results show that CVaR can better measure risk, especially when the return on assets does not meet the normal distribution;with the increase of confidence level CVaR also increases, indicating that CVaR can better measure the tail loss; risk-free assets would make the mean-CVaR efficient frontier model change. Overall, mean-CVaR is more adaptive than mean- variance or mean-VaR both from the accuracy or breadth in the portfolio's risk measurement and risk control.