Optimizing the stock portfolio with using a stop-loss point

This paper investigates the issue of stock portfolios optimizing when investors implement the stop strategy. And studies a new CVaR equation, known as SPP-CVaR. The SPP-CVaR method with optimizing the stock portfolio will be tested by using Iranian stock market data. The SPP-CVaR method can solve the uncertain time of stock sales due to the use of a stop strategy. By comparing test results, we intend to see whether theSPP-CVaR method is superior to the traditional CVaR method when investors implement the stop strategy

Keywords:

Optimizing the stock portfolio , stop-loss point , CVaR , SPP-CVaR