Applying Conditional Value At Risk In Optimizing Portfolios

Abstract

Value at Risk (VaR) & Conditional Value at Risk (CVaR) is a portfolio risk assessment method, but CVaR is a more accurate and advanced risk identification than VaR. In this thesis, we will briefly introduce VaR the definitions, mathematical formulas, basic methods for calculating and comparing strengths and weaknesses in VaR calculation methods. Later, we will learn about CVaR through the definitions and calculation methods of CVaR. Finally, based on the economic situation, choose companies based on stock prices to perform portfolio optimization analysis with CVaR to prevent portfolio risk.