Portfolio Research Based On WCVaR

This paper analyzes the definition, source and classification of financial risk, and systematically summarizes seven classical kinds of risk measurements. We introduced the VaR and CVaR theory, and expounded the advantages and effects of CVaR risk measuring method. In practice, the liquidity of financial market also affected the investment strategy, but the traditional mathematical models are difficult to measure the liquidity of financial market. Introduced fuzzy theory into portfolio theory, we constructed CVaR portfolio model based on fuzzy mobility constraining. Moreover, relaxed the assumption that the distribution of return rate meets fixed distribution, we proposed the Worst-case CVaR method, and established WCVaR portfolio model based on fuzzy mobility constraining. Finally, the empirical analysis is given under the scenario distribution constructed by the vector autoregressive method and Monte Carlo simulation. The result shows that the model we derived is practical.