Mean Conditional Value-at-Risk Model for Portfolio Optimization

We focus on the optimal portfolio selection problem where the objective function is expressed by mean Conditional value-at-risk (mean-CVaR). In general, since the density function of underlying risk factors is not available, and then the calculation of CVaR is rather difficult and can not derive the optimal solution. Therefore, we propose the mean-CVaR portfolio optimization model to deal with the problem, which can be simplified to linear programming. Finally, an example is provided to examine the model.