Efficient Frontier Analysis of Mean-CVaR Based on Risk-free Asset and Holding Period Condition

A risk-free asset is included in the portfolio,and the mean-CVaR model is established under holding period condition.The model is solved through Lagrange multiplier method,and the results show that efficient frontiers of mean-CVaR and mean-variance model coincide based on some given conditions.Furthermore,according to the relationship between the expected rate of return and borrowing-lending rates,the efficient frontier of mean-CVaR model consists of line segment,hyperbola segment and half line with different borrowing-lending rates.