Portfolio Model Based on CVaR Under Friction Market
Yuelin Gao, Bo Wang, Xiao-hui An · 2010
Taking into more account practical situation of Chinese securities market with non-convex non-concave typical transaction cost and revenue and measuring the risk of the securities by the conditional value at risk, we establish a portfolio model in which the expected income of portfolio is taken as objective function and Conditional Value-at-Risk is taken as a constraint. The model is solved by a particle swarm optimization algorithm based on punished function. It is shown by the numerical results of six stocks in Hu and Shen market that the proposed model is rational.