The results implies that we can add CVaR restrict into portfolio of replication by a LP problem, can achieve CVaR from a linear function directly without first calculating VaR.

• 计算结果表明；可以通过一个线性优化问题将CVaR约束考虑到复制的组合中；CVaR的值可以直接由一个线性函数确定；不用先计算VaR的值.