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Question

  • Since CVaR is a concept that can be applied to all probability distribution, even if they do not follow normal distribution, I thought CVaR should be more concerned with median, not the mean of return of any asset.
  • However, I haven't heard any about 'Median - CVaR portfolio optimization technique', whereas we have a mean-CVaR portfolio optimization technique. You can read research papers like 'CVaR Robust Mean-CVaR Portfolio Optimization' to get more information about 'mean-CVaR portfolio'
  • I am wondering why there is no such thigs as 'median - CVaR portfolio optimization'.
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