Journal of Advanced Statistics

Download PDF (430.9 KB) PP. 80 - 89 Pub. Date: December 1, 2018

DOI: 10.22606/jas.2018.34004

• Xinfeng Li
  College of Liberal Arts, University of Minnesota, Twin Cities, Minneapolis, The United States
• Hao Deng^*
  School of Mathematics, University of Edinburgh, Edinburgh, The United Kingdom

To better supervise the risk of financial investment market, the Conditional Value At Risk (CVaR) investment portfolio optimization model of under single period investment is discussed and its expansion form is explained. The empirical simulation of Mean - CVaR model is carried out with historical simulation method, and the influence of confidence level and transaction cost on the effective frontier of the optimization model is mainly studied. The results show that the effective frontier of the Mean - CVaR model will move to the right as the confidence level increases and will also move to the lower right as the transaction cost increases. In addition, the empirical simulation part also confirms the rationality of the mean model and summarizes the relationship between -CVaR and - Value At Risk (VaR) and the characteristics of their respective effective frontier curves. It can be concluded that the Mean - CVaR model has a good effect on the risk supervision of financial investment market.

Quantitative model; financial investment market; risk supervision; CVaR model

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