Hi everyone

There has been lack of conditional value at risk optimization model, yet it is a very useful coherent risk measure. I've made a mean-CVaR portfolio construction model in the attached backtest. Similar to mean-variance portfolio construction model framework, it requires input of magnitude of insight. 

For optimization part, please find this journal's equation (3.23) for reference. It uses the concept of disciplined convex optimization to perform Monte Carlo simulation. In order to satisfy the constrains, the portfolio will be automatically forced to be Long only.

Enjoy!
Louis

Author