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Entropic Value-at-Risk (EVaR) is an alternative and more efficient risk measure than conditional Value-at-Risk (CVaR). EVaR serves as an upper bound to both VaR and CVaR.

Below is a graph of the mean-variance efficient frontier and the mean-CVaR efficient frontier

https://www.scipedia.com/wd/images/e/e9/Wang_2020a_2053_Figura3.png

What would the mean-EVaR efficient frontier look like compared to the two shown, given that EVaR is an upper bound to CVaR? How would its curve be placed. in-between the two frontiers shown, lower than both?

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It makes very little sense compare efficient frontiers across different risk measures, as per your attached picture. That is because efficient Mean-CVaR portfolios are always sub-optimal compared to the efficient Mean-Variance ones within the Mean-Variance space and vice-versa. Therefore, if the Mean-Variance space is considered both Mean-CVaR and Mean-EVaR efficient frontiers are always contained by the Mean-Variance one. Whether or not the Mean-EVaR efficient frontier lies in between the other frontiers depends on the considered subset of securities.

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Yes, you can check the paper Entropic Portfolio Optimization: a Disciplined Convex Programming Framework in SSRN.

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