Research On Risk Portfolio Model Optimization And Application

With the rapid development of finance industry,the investment behavior of risk investment portfolio become more and more important,Scholars at home and abroad also pay more and more attention to the research of the theory of risk investment portfolio. A reasonable risk portfolio model provides a reasonable basis for investors in making investment decisions to disperse the risk and ensure the stability of the income. The most widely used mean variance model is the foundation of modern portfolio theory. Markowitz hypothesis makes the model has some limitations ,Because of the inconsistency between the model and the market environment, there will be a certain degree of deviation in the actual use of the process, Therefore, many scholars devote themselves to the optimization and improvement of mean variance model.The paper makes a research and analysis on the current risk portfolio model and risk measurement tools, establish mean -var model On the basis of mean variance model. According to the investment risk preference introduce the chance constraint and risk free assets, make an empirical analysis. The innovation of this paper is:(1) simplifing the mean variance model under var constraints using var instead of variance establish the mean -var model; (2)The introduction of risk-free assets makes the model more practical and widely used;(3) established the model and discussed the uniqueness of the solution (4) used an example to verify the deficiency and practical significance.