A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover can be tuned to the needs of a particular model in finance, or operations research more broadly. Although the idea of...

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...