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
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.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science
Series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2015
ISBN
978-94-62520-61-5
ISSN
2352-5398
DOI
10.2991/etmhs-15.2015.41How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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  - Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science
PB  - Atlantis Press
SP  - 179
EP  - 182
SN  - 2352-5398
UR  - https://doi.org/10.2991/etmhs-15.2015.41
DO  - 10.2991/etmhs-15.2015.41
ID  - Cao2015/03
ER  -