I wanted to optimize a portfolio based on a portfolio-wide CVaR constraint (i.e. $CVaR_p \leq 0.08$). Unfortunately, I only find solution that minimizes the entire CVaR of the Portfolio.
Do you mind telling me if I need to add a restriction or how to change the utility function?
Here, you find the initial data and optimization Link
I removed some stupid elements. I will give a full answer once I finished the semester at the university.