A new risk measure and its application in portfolio optimization: The SPP–CVaR approach

This paper studies the problem of portfolio optimization when investors implement the stop strategy. We derived a new CVaR equation, known as SPP–CVaR. The SPP–CVaR method is tested by optimizing a portfolio using data from Shanghai stock market. The SPP–CVaR method can solve the problem of uncertain exit time due to the use of the stop strategy. By comparing the test results, we found that the SPP–CVaR method is better than the traditional CVaR method when investors implement the stop strategy.