Espinoza, Daniel; Moreno, Eduardo - In: Computational Optimization and Applications 59 (2014) 3, pp. 617-638
<Para ID="Par1">Recent years have seen growing interest in coherent risk measures, especially in Conditional Value-at-Risk (<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>). Since <InlineEquation ID="IEq2"> <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> is a convex function, it is suitable as an objective for optimization problems when we desire to minimize risk. In the...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></para>