Conditional Value-At-Risk For Linear Portfolios With Two Category Distributions Risk Factors

In the paper, we have extended CVaR of linear portfolios about discrete random variable of scenario models in space of one dimension to CVaR of linear portfolios of multinomial distribution and multi-Poisson power distribution in the hyperspace. In the same time, it presents CVaR of linear portfolios about random variables which have a logistic distribution and an exponential power distribution in use of the equivalence of CVaR and ES when the variables are integral. Finally, it gives CVaR of linear portfolios about the sum of different forms of random variables.There are five chapters in the paper. The first chapter is the introduction. The second one is the pre-knowledge of the paper. The third one and the forth one are the main body of the paper. At first, the third chapter offers CVaR of linear portfolios about random variables with multinomial distribution and multi-Poisson power distribution. Then the forth chapter presents CVaR of linear portfolios about random variables which have a logistic distribution and an exponential power distribution as well as CVaR of linear portfolios about the sum of different form of random variables. The last chapter is the conclusion.