A modified VaR model for portfolio optimization problem

摘要

In this paper,we study extensions of the classical Markowitz'mean-variance portfolio optimization model,and VaR is used as risk measure.As is well known,VaR is not sub-additive.This problem will be partially solved by introducing a new variable "diversification" besides income and VaR in our modified model.Empirical tests on Shanghai Stock 50 Index show that the new model promotes diversification.