This paper adopts the CVaR measure to study the newsvendor model in which the risk-averse newsvendor aims to minimize his CVaR of opportunity loss. The following results are achieved. The newsvendor's optimal order quantity to minimize CVaR of opportunity loss is decreasing in the confidencel level and thus is smaller than the expected opportunity loss minimization order quantity when the overage loss is bigger than the underage loss. The newsvendor's optimal order quantity to minimize CVaR of opportunity loss is increasing in the confidencel level and thus is bigger than the expected opportunity loss minimization order quantity when the overage loss is smaller than the underage loss. Besides, it is shown that under the optimal order quantity to minimize CVaR of opportunity loss, the newsvendor's expected profit is decreasing in the confidence level and the newsvendor's expected opportunity loss is increasing in the confidence level, which confirm that low risk implies low return while high return comes with high risk.