Based On Var Without Short-selling Portfolio Analysis And Empirical Research

Since Markowitz brought forward mean-variance portfolio selection model, the investment portfolio theory of financial assets keep on developing. Most of the current research and theory in china remain in the investment portfolio of financial assets to allow short selling. The introduction of the portfolio of financial assets with no short selling is mainly about measurement study abroad and there are some deficiencies in them. Therefore, both theoretical and practical innovations need to be made. Moreover, as China's financial markets do not allow short selling transactions, as applied research, In this paper, we can give some reference for managers and designers.In addition, capital risk and its unpredictability of the huge economic losses caused increasingly concern. Especially the last 20 years, due to economic globalization and the liberalization of capital, the modern capital theory and information technology, Capital innovation factors, the capital markets are showing unprecedented volatility and vulnerability. The crisis caused by capital risk occurred. Therefore, how to correctly identify the capital risk, to find reasonable ways of measuring risk has become increasingly important issues.In this paper, first, we introduce the traditional Markowistz portfolio theory, add VaR into the portfolio, under the precondition of China's stock markets does not allow short-selling, gain the securities investment portfolio with expected loss in using Tree Algorithm. Finally put forward some suggestions to the development of Chinese stock market.