Portfolio Optimization Of Stock Market Based On CVaR

Today's world is in the era of globalization,economic,cultural and political are closely linked and interdependent.With the continuous development of mobile Internet technology,all kinds of economic and trade are more inseparable,and the relationship between financial markets is more complex.The 2008 economic crisis,originated from the financial derivatives out of control,has brought great impact on the world economy.Therefore,in today's increasingly close economic globalization,timely prevention of financial risks is an extremely important work.Both enterprises and individual investors need to use reasonable risk measurement tools,measure the financial market risk correctly,and use scientific financial risk management methods to prevent in advance.A large number of previous studies have shown that the distribution of financial time series has some regular characteristics: "peak" and "thick tail",which deviates from the most common normal distribution in the natural world,and the volatility of financial time series has obvious "clustering" phenomenon.In this paper,the conditional heteroscedasticity model of time series theory is used to model financial time series,and the extreme value theory is used to describe its distribution characteristics,especially the characteristics of the tail at both ends of the distribution.As we all know,a rational economic person always considers two kinds of decisionmaking situations when making investment decisions: trying to maximize the return or achieve the expected return under the condition of tolerable risk,avoiding his own risk as much as possible.This paper will discuss the portfolio optimization based on the risk aversion attitude.VaR and CVaR are two practical risk measurement tools,and CVaR has some better properties than var.Therefore,in the part of portfolio optimization,this paper first uses copula function to combine the edge distribution,then uses CVaR risk measurement to build mean CVaR model,uses Monte Carlo method to carry out scenario simulation,and finally calculates the optimal investment weight of the portfolio.This conclusion will provide valuable theoretical guidance for all kinds of investors when making investment decisions.