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As we know, there is a belief in the finance literature that Value at Risk (VaR) and Conditional Value at Risk (CVaR) are new approaches to manage and control the risk. Regard to, value at risk is not a coherent risk measure and it is not sub-additive and convex, so, we have considered conditional value at risk as a risk measure by different confidence level in the Mean-CVaR and multi objective proportional...
A mean-CVaR optimization model about invest portfolio which is adopt to Chinese stock market is established based on the method of CVaR within the frame work of risk measurement theory. We receive the effective border of the mean-CVaR model by computing the ratio of the minimum risk CVaR. According to the fixed rate of return under given confidence level on the basis of recent data in actual stock...
Taking into more account practical situation of Chinese securities market with non-convex non-concave typical transaction cost and revenue and measuring the risk of the securities by the conditional value at risk, we establish a portfolio model in which the expected income of portfolio is taken as objective function and Conditional Value-at-Risk is taken as a constraint. The model is solved by a particle...
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