Based on the CVaR method and Kelly formula，this article proposes the KellyCVaR model and applies it to asset allocation. The new model use the Kelly formula to allocate assets on the premise of using CVaR to control risk. It aims to maximize the capital appreciation ratio，on the condition that the average loss of portfolio’s net value does not exceed a given level. KellyCVaR model is used to allocate CSI All Share Index，CSI Aggregate Bond Index and Wind Commodity Index with a test period from January 1，2007 to December 31 2016. Every 3 months the weight of each asset is adjusted. The result shows that the yield and Sharp ratio of portfolio exceed each asset，which means the KellyCVaR model can achieve good results in asset allocation.