Optimizing Model Based on VaR and CVaR and Its Application in Portfolios of Insurance Funds
Chen Wen-cai · Journal of Nanchang University · 2011
Under the assumption that the return of the portfolios of insurance funds is normal distributed,and using minimum conditional value-at-risk(CVaR) of insurance funds investment portfolio as a object function,taking value-at-risk(VaR),relevant laws and relugations of the CIRC as the constrains,a new optimal model(i.e.VaR-CVaR model) was developed,which involving both the underwriting risk and the transaction costs.By using the geometric method,the effective frontier of our model was obtained.