请问只看cvar吗？var用不用看？

问题如下：

Based on Exhibit 2, which alternative portfolio should Gension recommend for the fund given Smittand’s stated three goals?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

A is correct. Among the three portfolios, Portfolio A minimizes the probability of triggering the primary lender’s loan covenant, which is the highest-priority goal, because it has the lowest one-year 99% CVaR, –19.4%. Portfolio A also has the lowest probability of purchasing power impairment over a 10-year horizon (2.5%). While Portfolio A has the lowest probability of achieving a real return target of 6% over a 10-year horizon (56.1%), that is the least important goal to be met. Therefore, Gension should recommend Portfolio A for the fund.

B is incorrect because Portfolio B has a one-year 99% CVaR of –20.6%, which crosses the loan covenant threshold of a 20% loss. Portfolio A is the only one that satisfies the most important goal and is the portfolio least likely to trigger the loan covenant. Since Portfolio B does not achieve the most important goal of minimizing the probability of triggering the primary lender’s loan covenant, Portfolio B should not be the recommended portfolio.

C is incorrect because despite the fact that Portfolio C has the highest probability of meeting the 6% real return over a 10-year horizon, 61.0%, it also has a one-year 99% CVaR of –22.7% and thus the highest probability of triggering the loan covenant. Portfolio A is the only one that satisfies the most important goal and is the portfolio least likely to trigger the loan covenant. Since Portfolio C does not achieve the most important goal of minimizing the probability of triggering the primary lender’s loan covenant, Portfolio C should not be the recommended portfolio.

这个题的核心是这句话

然后是弄明白CVaR是什么意思，一年期 99% CVaR：如果回报低于 99% VaR 阈值时的预期回报。具体解释就是先说VaR，这个是指比如在99%的可能下的最差表现，可是问题是万一出现那百分之一呢？于是有了这个一年期 99% CVaR，就是用来研究在极端情况下（就是那个1%）可能产生的最差情况。

而这个题的表2，portfolio B和C都在CVaR情况下跌幅超过20%。于是只剩下了portfolio A了。