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A Maximum Loss Minimization Model for Portfolio Selection Based on the CVaR Measurement

With the application of the pessimistic decision-making method, we make our portfolio selection with the objective of “maximum loss minimization”. First, we develop a maximum ordinary loss minimization model and then we form a maximum mean excess loss minimization model on the basis of the CVaR risk measurement. On the basis of the two models, we put forward a new concept loss gap and define it. Last, we establish a maximum loss gap minimization model and discuss the relationship between it and the MV model.