Abstarct: In financial studies one of the main investors' concerns is choosing of portfolio maximizing the profit in financial markets. Markowitz optimization problem and the effective boundary determination, is solvable by mathematical models when the properties of investor and constraints in market is few, but when real condition and constraints is considered, portfolio optimization problem using mathematical methods is not solvable. most of investors are interested in long time investment, thus, in this study multi-period portfolio investigation with, tacking account of Value at Risk and Conditional Value at Risk as risk criteria and using of skewness for real abnormal data is considered that lead to generate portfolio.