  Portfolio selection in the periodic investment of securities modeled by a
multivariate Merton model with dependent jumps is considered. The optimization
framework is designed to maximize expected terminal wealth when portfolio risk
is measured by the Condition-Value-at-Risk ($CVaR$). Solving the portfolio
optimization problem by Monte Carlo simulation often requires intensive and
time-consuming computation; hence a faster and more efficient portfolio
optimization method based on closed-form comonotonic bounds for the risk
measure $CVaR$ of the terminal wealth is proposed.
