The portfolio model with typical transaction cost based on CVaR
Fang Cheng-d · Journal of Guangxi University · 2015
The use of limited capital to control risk under the expected return condition is one of the purpose of investment,assuming that investors are risk averse. CVaR was used as a method to measure a portfolio risk. A portfolio model with typical transaction cost was constructed under the cost constraint condition and the CVaR as an objective function,and the algorithm steps of solving the model are provided. The empirical analysis of the historical data of China's stock market is carried out to verify the validity of the model.