Hi all!

My question itself is not related to R so my apologies for that. I ran
scenario optimizations in S-Plus with respect to variance and CVaR as a risk
measures (based on Scherer & Martin's (2005) book). My assets where
mostly negatively skewed and fat-tailed and I expected the resulting
portfolio from CVaR-optimization to have less tail-risk than the the
portfolio from variance-optimization. However, I noticed the opposite which
is surpirising because the markowitz optimization is often accused of
being tail-risk maximization when assets are negatively skewed (e.g. hedge
funds).

In many sources CVaR is said to be "the measure" for downside risk
measurement. However, I am not able to find a discussion about how well CVaR
relates with the utility maximization framework.. who should optimize with
respect to CVaR if it increases the tail-risk? Computational easiness is not
a good reason..   Any references or thoughts about the subject would be
appreciated..

-John

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