An improved portfolio based on VaR

Portfolio is a strategy that the investors invest in various assets by a certain percentage for their benefit.Most investors hope to gain the highest returns at the same time undertaking the lowest risks. This article useed the value-at-risk(VaR) to measure risk, and improved the traditional Markowitz mean-variance portfolio model.It used the utility function, and transformded the multi-objective programming into single-objective programming so as to diversify the investment shares and reduce the risks.At last,we selecet eight different stocks in our market, it concludes that the improved portfolio in this article successfully increases the returns for the invstors and reduces the risks at the same time.The model can help investors arrange their assets resonably,so it has certain directive effects and practical meanings.