Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science

Portfolio Optimization Model Based on CVaR Programming and Limits of MAD

Authors
Jinsheng Cao
Corresponding Author
Jinsheng Cao
Available Online March 2015.
DOI
https://doi.org/10.2991/etmhs-15.2015.41How to use a DOI?
Keywords
Portfolio; CVaR Programming; MAD
Abstract
Portfolio problem is one of the hotspots of the current financial theory anthe main research at the desired rate of return is determined to find the premise of asset alloc ation investment program, or in the case of identified risks to maximize profits. Early research portfolio focused on portfolio income measure, then the transition to measure portfolio risk. This paper presents a CVaR portfolio model based on a combination of capital gains rate not assume a normal distribution, with the MAD model as a constraint, realized volatility measure limit, spend a convex utility function as a constraint, indicating risk asset transaction costs. Experimental results show that the model meets the requirements of the actual investment, in line with the actual investment law, and MV CVaR model and the original model and compared with the volatility of the value at risk minimization advantage.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Cite this article

TY  - CONF
AU  - Jinsheng Cao
PY  - 2015/03
DA  - 2015/03
TI  - Portfolio Optimization Model Based on CVaR Programming and Limits of MAD
BT  - 2015 International Conference on Education Technology, Management and Humanities Science (ETMHS 2015)
PB  - Atlantis Press
SP  - 179
EP  - 182
SN  - 2352-5398
UR  - https://doi.org/10.2991/etmhs-15.2015.41
DO  - https://doi.org/10.2991/etmhs-15.2015.41
ID  - Cao2015/03
ER  -