The Marginal Price of Risk With a Cvar Constraint

Applying the approach used by Eisenberg (2007) to derive the marginal price of risk for an expected value maximizing manager who has a Var constraint, I derive the marginal price of risk given a Cvar (Acerbi and Tasche, 2001), also known as an expected shortfall constraint. Despite the criticism that Var is not as good a measure of risk as Cvar, under typical conditions the marginal price of risk with a Cvar constraint is approximately the same as the price with a Var constraint