Before revision:  The second method is parametric : solve the empirical Markowitz problem instead if the log-return distribution is in the elliptical family (which includes Gaussian and t distributions), as then the population frontiers of the Markowitz and mean-CVaR problems are equivalent . Numerical simulations show both methods improve upon the empirical mean-CVaR solution under an elliptical model, with the Markowitz solution dominating. The penalized solution dominates under a non-elliptical model with heavy one-sided loss .
After revision:  The second method is parametric : solve the empirical Markowitz problem instead if the log-return distribution is in the elliptical family (which includes Gaussian and t distributions), as then the population frontiers of the Markowitz and mean-CVaR problems are equivalent . Numerical simulations show both methods improve upon the empirical mean-CVaR problem, with less variability .