The Risk Measurements And Models For Portfolio Investment

Security trade is a profession with high risk, and the risk in portfolio investment is the problem that always gets people's solicitude, so giving various safety criteria and measures of risk is the chief problem of controlling and guaranteeing against risk. In this paper, we will give the method to determine the optimal portfolio and relevant results satisfying the given safety criteria under the measure of risk—Conditional Value-at-Risk (introduced by Rockafeller and Uryasev in 2000) according to the three types of Safety-First Criteria.Firstly, portfolio selection problem and finance risks management are introduced, and then discussed the methods of risk measure:variance, semivariance,mean absolute deviation,Value-at-Risk and Conditional Value-at-risk. The Mean-VaR efficient frontier and Mean-CVaR efficient frontier under the normal condition.And then according to Safety-First Criteria under the measure of Value-at-Risk or Conditional Value-at-Risk the models for the optimal portfolio are given. After simplifying the models, the genetic algorithm can be used to solved this problem.At last we can get the optimal portfolio. These results can provide theoretical basis for financial institutions and investors to make correct...