# CoVaR-based portfolio selection

## TL;DR

This paper explores portfolio optimization using CoVaR, a risk measure based on stress events, providing solvability conditions under the assumption of normally distributed returns.

## Contribution

It introduces a CoVaR-based portfolio selection method with solvability conditions and illustrative examples under normality assumptions.

## Key findings

- Derived solvability conditions for CoVaR-based optimization
- Provided illustrative examples demonstrating the method
- Focused on normal distribution assumptions

## Abstract

We consider the portfolio optimization with risk measured by conditional value-at-risk, based on the stress event of chosen asset being equal to the opposite of its value-at-risk level, under the normality assumption. Solvability conditions are given and illustrated by examples.