Computational aspects of minimizing conditional value-at-risk

@article{KnziBay2006ComputationalAO,
  title={Computational aspects of minimizing conditional value-at-risk},
  author={Alexandra K{\"u}nzi-Bay and J{\'a}nos Mayer},
  journal={Computational Management Science},
  year={2006},
  volume={3},
  pages={3-27}
}
Abstract.We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as two-stage recourse problems of stochastic programming. Specializing the L-shaped method leads to a new algorithm for minimizing conditional value-at-risk. We implemented the algorithm as the solver CVaRMin. For illustrating the… CONTINUE READING

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