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Optimization of Conditional Value-at-Risk

Optimization of Conditional Value-at-Risk

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Value-at-Risk (CVaR), which is known also as Mean Excess Loss, Mean Shortfall, or Tail VaR. ... The vector y stands for the uncertainties, e.g. in market parameters, that can affect the loss. Of course the loss might be negative and thus, in effect, constitute a gain.

  Risks, Parameters

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