This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio return subjects to heavy tail. With linear weighted sum method, we solved the multi-objectives model, and compared the model results to the case under the assumption of normal distribution portfolio return, which is based on the portfolio VAR. In an empirical research, it shows that the return in our model is approximate to that of M-V model, but risk is higher than M-V model. It is illustrated that when risk is described as CvaR, it will predict the potential risk of the portfolio, which is helpful for investors to raise awareness of risk.
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