Investment Portfolio Model Based On VaR And CVaR

By allocating wealth to different assets,the portfolio achieves the purpose of dispersing risk and ensuring profitability.VaR and CVaR are widely used as a new method of measuring portfolio risk.On the basis of the existing theoretical research,this paper uses empirical methods to study the optimization of these two methods for portfolio selection.First,the definitions,properties and corresponding calculation methods of the two methods are given.Then,the portfolio model is established under the constraints of VaR and CVaR respectively.The following is the empirical analysis of the model,the data used for simple prediction of the time series,to ensure data reliability.Then the empirical analysis of the two models is conducted,in which the portfolio model under VaR constraints is divided into two cases: allowing short selling and not allowing short selling.In the condition of short sale,to compare VaR and CVaR constraints model,get portfolio weights under confidence level.Finally this method can effectively measure the risk,and the CVaR constraint model of investment proportion is more stable,in reducing the risk at the same time,to maintain yield under the premise,effectively reduce the portfolio variance,CVaR is better than VaR.I hope this research can be of some guiding significance to investors.