This paper proposes a mean-CVaR portfolio optimization framework for both conservative and aggressive investment strategies based on long-term risk prediction, which is different from financial assets such as stocks, bonds portfolio optimization framework based on the short-term risk prediction, so as to mitigate concentration risk due to sharp fluctuations of price of single inventory in supply chain finance. The long-term risk prediction based on Monte Carlo simulation of the inventory portfolio is proposed, and it is more practical than square root rule, which overcomes the shortcoming of the square root rule which heavily depends on the independent normal distribution. In methodology, AR(1)-EGARCH(1,1)-EVT model is set up to better depict the characteristics of the autocorrelation, heteroskedasticity, leptokurtosis and fat-tails of the marginal distribution, furthermore, the multivariate t-Copula function is introduced to model the dependency structure of individual pledged inventory. The empirical results show that, the mean-CVaR optimization framework outperforms the improved mean-variance from the perspective of long-term risk prediction, which are robust to the choice of risk window, confidence level, simulation times and sample size. In summary, this paper provides a new framework for managing the risk of portfolio in inventory financing practice for banks constrained by risk limitation.