Optimization of conditional value-at-risk
Optimization of conditional value-at-risk is a scholarly work by R. Tyrrell Rockafellar, published in 2000 in ''The Journal of Risk''. The main subjects of the publication include measure, mathematical optimization, econometrics, risk management, economics, actuarial science, value at risk, risk measure, CVAR, Coherent risk measure, portfolio optimization, robust optimization, expected shortfall, portfolio, investment, linear programming, computer science, and asset pricing. This technique is suitable for use by investment companies, brokerage firms, mutual funds, and any business that evaluates risk.