CVaR(Conditional Value-at-Risk) is a new measure of risk based on VaR(Value-at Risk),which has good mathematic properties and can embody characters of risk. Rockafellar R.T.,S.Uryasev(2002) applied CVaR on financial instrument replication，and concluded that CVaR can improve portfolio of replication. This paper is based on their study，mends their method，applies it on replication of Citic Index and discusses the academic signification and practical effect. The replication of Citic Index is conduced in in-sample calculation and out-sample calculation. The results implies that we can add CVaR restrict into portfolio of replication by a LP problem,can achieve CVaR from a linear function directly without first calculating VaR．Furthermore，when CVaR restrict is effective, VaR can be obtained instead as a byproduct by determining portfolio of replication．The most important discovery is that the loss function of CVaR has effect on controlling deviation of portfolio, the method of RockafellarR.T, S．Uryasev(2002) is of no effect in out-sample calculation，but the improved method is availability in out-sample calculation．

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