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
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?