Portfolio optimization is a well-known and beneficial procedure used by share-holders to select their portfolios. An investor must seek an equilibrium between risk and profit while making investment decisions. The fundamental concern is risk because the responsibility of the risk for each investor is different. A risk profile of each investor is char-acterized as a risk measure. In this paper, we focus on Conditional Value-at-Risk (CVaR). We numerically consider an optimal portfolio which minimizes CVaR under CEV model. Finally, the numerical results of CVaR and the optimal portfolio are discussed.
Yuri et al. (Sun,) studied this question.