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A new approach for optimizing risk in a portfolio of financial instruments   involving structured products is presented. This paper deals with a   portfolio selection model which uses optimization methodology to minimize   conditional Value-at-Risk (CVaR ) under return constraint. It focuses on   minimizing CVaR rather than on minimizing value-at-Risk VaR, as portfolios   with low CVaR necessarily have low VaR as well. We consider a simple   investment problem where besides stocks and bonds, the investor can also   include structured products into the investment portfolio. Due to possible   intermediate payments from structured product, we have to deal with a   re-investment problem modeled as a linear optimization problem

Portfolio optimization with structured products under return constraint