A mathematical model of multiobjective conditional value-at-risk

This paper studies the theory of a multiobjective conditional value-at-risk(CVaR) model.The concepts ofα-VaR andα-CVaR based on multiobjective loss functions are introduced first. The multiobjective CVaR optiaml model is obtained.Next,the equal theorem forα-VaR andα-CVaR is proved,and some properties of consistent measure for CVaR under multiobjective loss functions are given.Finally,an approximate model for solving multiobjective CVaR optiaml model is obtained.