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I would like to analysis of portfolio insurance under a coherent risk-measure method (CVaR), How can I achieve that? Is there a way to turn the problem into a linear programming problem? or to approximate the results? Any links or ideas are welcome.

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  • $\begingroup$ What do you mean by portfolio insurance exactly? You're trying to hedge your tail risk here right? $\endgroup$ – SRKX May 4 '13 at 23:04
  • $\begingroup$ Many thanks for your attention and your answer. Portfolio insurance is designed to give the investor the ability to limit downside risk while allowing some participation in upside markets. The insurance strategies are able to limit the downward returns while retaining certain upside returns, and their capabilities of reshaping the return distributions increase as the guarantee or the confidence level rises. $\endgroup$ – Najibeh Sadati May 5 '13 at 5:48
  • $\begingroup$ In fact, I want to know how can I allocate funds between the risky and risk-free assets based on their return distributions and dynamically rebalances the insured portfolio such that the mean of the left tail of the distribution relative to the insured value is equal to the CVaR at a confidence level. Consequently, the ability to meet the protection level becomes a control factor; this is its major advantage over the standard portfolio insurance strategies. $\endgroup$ – Najibeh Sadati May 5 '13 at 5:50

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