Research Robust Portfolio Model Based On CVaR Uncertain Environment

Now because the financial market always changes, then, all kinds of financial riskmanagement strategies and techniques arise at the historic moment. In the complexfinancial markets, own to earning returns，the securities market have a rapid development.However the benefit of securities investment is uncertain, the investors have to make theright decision in uncertain environment. Robust optimization mainly considers theuncertain parameters value, to different objective function values gives its differences, notjust emphasize its mathematical expectation. The robust optimization target values can beused by policy makers of different measurement methods. Therefore, making robustdecision in practice is very practical.In this article, We consider CVaR robust decision making model under uncertaintyenvironment. First, the traditional and modern portfolio investment combination isintroduced. And the common risk measurement methods are given, mainly including theVaR and CVaR, Then, compared with the VaR, CVaR derivation is suitable for the studyof financial risk measurement tools in this article. Then on CVaR is introduced, mainly ongeneral situation of average-CVaR and normal distribution situation of average-CVaR isanalyzed. Moreover, CVaR robust decision model under uncertain environment study, inthis part, first introduces some common methods of solid model, mainly introduced therobust decision making under the mixed distribution model. And introduced the concept ofWCVaR, then, this paper introduces the general distribution of CVaR robustdecision-making model and mix sound decision model under the normal distribution.Finally selected10stocks for the empirical analysis on the Shanghai market, throughrespectively on the solid model and the model analysis, put forward the importance of thesolid model, and give investment advice.Under uncertainty，making robust model is a hot spot，and every investor may face indecision-making． These theoretical reseach will promote the robust control anddecision-making under uncertainty．...