关键词: 风险值, 条件风险值, 投资组合, 有效前沿, 交易

Abstract: Based on the analysis of the concept, parameter selection and calculation principle of Conditional Value at Risk (CVaR), we take stock holding quantity instead of stock distribution as decision variable, and take the proportional transaction cost constraint into the model, and we propose a CVaR model of single period portfolio optimization with the mean value of transaction cost. Through the comparison between CVaR and VaR, we draw the conclusion that CVaR is more comprehensive than VaR,and it is also more conducive to risk avoidance. By analyzing the change of the confidence level and the effect of the transaction cost constraint on the optimal portfolio and the effective frontier, the objective function of the model is smoothed, and the optimal model is obtained. The empirical simulation shows that the convergence of the optimized model is better.

Key words: Value at Risk, Conditional Value at Risk, investment portfolio, effective frontier, transaction