Mean——CVaR Efficient Frontier and Its Economic Implications(II)

Since CVaR (Conditional Value-at-Risk)—a new approach of risk management introduced by Rockafeller and Uryasev(2000),has significant advantages over VaR(Value-at-Risk) and more reasonable economic implications than VaR,it is considered to be a more stable、consistent and efficient measure of risk than VaR.Based on the CVaR technique,this paper studies the Mean\_CVaR boundary of portfolio and examine the economic implications under the assumption of normality of risk securities.The comparison between the Mean\_CVaR boundary and the Mean\_Variance boundary is provided.