中文摘要：

从有效投资组合的角度构建持有期下含有无风险资产的均值—条件风险价值模型,用Lagrange乘子法对该模型求解,可得到：一定条件下,新模型的有效前沿与均值—方差模型有效前沿是一致的;且当借贷利率不同时,新模型的有效前沿可以根据组合预期收益率与借贷利率的不同关系,由线段、双曲线以及射线三个部分组合而成。

英文摘要：

A risk-free asset is included in the portfolio, and the mean-CVaR model is established under holding period condition. The model is solved through Lagrange multiplier method, and the results show that efficient frontiers of mean-CVaR and mean-variance model coincide based on some given conditions. Furthermore, according to the relationship between the expected rate of return and borrowinglending rates, the efficient frontier of mean-CVaR model consists of line segment, hyperbola segment and half line with different borrowing-lending rates.