<Para ID="Par1">We formulate an objective as a convex combination of expectation and risk, measured by the <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\mathrm{CVaR }$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="normal">CVaR</mi> </math> </EquationSource> </InlineEquation> risk measure. The poor performance of standard Monte Carlo estimators applied on functions of this form is discussed and a variance reduction scheme based on importance...</equationsource></equationsource></inlineequation></para>