A Personalized Mean-CVaR Portfolio Optimization Model for Individual Investment

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Risk level</td><td class="align_center">Annual expected return <i>r</i> (%)</td><td class="align_center">Daily expected return <i>r</i><sub>0</sub> = <i>r</i>/365 (%)</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">A</td><td class="align_center">14</td><td class="align_center">0.0384</td></tr><tr><td class="align_left">MA</td><td class="align_center">10</td><td class="align_center">0.0274</td></tr><tr><td class="align_left">M</td><td class="align_center">7</td><td class="align_center">0.0192</td></tr><tr><td class="align_left">MC</td><td class="align_center">4</td><td class="align_center">0.0120</td></tr><tr><td class="align_left">C</td><td class="align_center">3</td><td class="align_center">0.0822</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Matching rules between investor’s risk tolerance level and expected return.</div>

Mathematical Problems in Engineering

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Table 2

Table 2: A Personalized Mean-CVaR Portfolio Optimization Model for Individual Investment 