What question did this study set out to answer?

This study aims to optimize portfolios by minimizing Conditional Value-at-Risk under the Constant Elasticity of Variance (CEV) model.

April 1, 2026Open Access

Portfolio optimization with conditional Value-at-Risk under CEV model

Key Points

This study aims to optimize portfolios by minimizing Conditional Value-at-Risk under the Constant Elasticity of Variance (CEV) model.
Utilized Conditional Value-at-Risk (CVaR) as a risk measure.
Employed the Constant Elasticity of Variance (CEV) model for optimization.
Performed numerical simulations to analyze optimal portfolio compositions.
Identified optimal portfolio configurations that minimize CVaR.
Demonstrated significant differences in risk profiles among portfolios.
Provided numerical evidence supporting the effectiveness of CVaR in investment decisions.

Abstract

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.

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