Portfolio Optimization Model Based on CVaR Programming and Limits of 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.