The Applied Research Of Risk Portfolio Based On Multi-objective Programming Model

The paper mainly study risk quantification along one of the direction of the portfolio theoryresearch, Markowitz hereby put forward about the investment portfolio risk quantification as anopen problem，which have been studied by Many scholars. The traditional risk quantificationway pay the most attention to volatility risk of assets; besides，VaR and CVaR are the way ofthe worst loss risk measurement. In addition, the downside risk measurement model includessemivariance, VaR and CVaR. Reality, revenue and risk could be considered simultaneously,revenue could be calculated by output and input, namely the earnings. The traditional portfoliomodel only was the innovation of the risk measurement methods,and selection of riskmeasurement method is relatively single,so,each portfolio model could be applied for a specificinvestment group.The innovation of the paper is to expand the scope of application of portfolio model byconsidering the properties of the different risk measurement method,thus,the paper build threepieces of portfolio model, respectively the mean-variance-CVaR model,the mean-absolutedeviation-VaR model，the mean-absolute deviation-CVaR models.The new model have theadvantage of considering volatility risk of assets and the worst loss risk at the same time,thismeans that the model is more close to reality, new methods of risk measurement is morescientific.Especially absolute deviation and the risk of CVaR combination not only simplifiesthe calculation,but its could improve unsubadditivity of VaR,so as to make more effectivemodel.The thesis established several groups of innovation model which are multi-objectivedecision-making problems, according to the characteristics and actual needs, the paper choosesthe constraint method which is the solution of multi-objective decision-making problems,investors could make choice by personal preferences, thus increasing the range of application ofthe mode. combined with the empirical study on the stock market in China, the paper make aconclusion that the new model could reduce the risk of volatility and the worst loss risk, so as toreduce the overall risk, finally the paper proves the validity of the new model.