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.