Notice of Retraction Optimal portfolio of minimizing CVaR for fractional Brownian motion

The fractional Brownian motion has played an increasingly important role in many elds of application. This paper is to study the application of fractional Brownian motion in optimal portfolio of risk assets. The CVaR explicit formula of portfolio for fractional Brownian motion is derived, then the mathematical model of optimal portfolio and the relative Newton numerical method are presented. In particular, an application to stock markets illustrates this procedure. The results show that the optimal portfolio of fractional Brownian motion is better than the optimal portfolio of standard Brownian motion in two aspects of mean return and extreme loss.