An Analysis on Issues of Capital Asset Portfolio Coordination in Relative VAR and Mean-Variance

This paper focuses on doing the research on capital asset portfolio coordination by applying coordination theory to capital market. The paper firstly defines and discusses the characteristics of the concepts of the absolute VaR and relative VaR, then creates a capital asset portfolio coordination model. During a dynamic investing environment and under a degree of confidence , the paper has achieved three generalized solutions in relative VaR. Then the paper has managed to change the three generalized solutions style from relative VaR to the style of mean-variance. The first generalized solution in relative VaR is consistent with the model of Yao, Yuan, and Li; the first solution in mean-variance is consistent with the model of Sharpe; the second solution in mean-variance is consistent with the model of Acharya and Pederson. The second and third generalized solutions in relative VaR and the third solution in mean-variance are proved by this paper