CVaR constraint in CVXR for Portfolio optimization

Hi everyone,
I am trying to find an implementation of CVaR constraint when optimising a portfolio using CVXR.
According to “CVXR: An R Package for Disciplined Convex Optimization” there seem to be an existing implementation.
Thanks for your help.

Despite the similar names, and CVX using the domain, CVXR is a different package than CVX.

Per , for CVXR questions,

Please post questions to the cvx tag on StackOverflow.

There are some CVX codes for CVaR in . Perhaps you can adapt them to CVXR. I offer no opinion as to the quality or correctness of that document or its codes (I’m not saying it is not correct and good, but I haven’t looked at it).