Computational aspects of minimizing conditional value-at-risk
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- Risk-averse formulations and methods for a virtual power plant
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- Twenty years of linear programming based portfolio optimization
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- Robust two-stage stochastic linear optimization with risk aversion
- New algorithmic framework for conditional value at risk: application to stochastic fixed-charge transportation
- Portfolio optimization with entropic value-at-risk
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- A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
- Risk averse shortest paths: a computational study
- Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
- Improved algorithms for computing worst value-at-risk
- Convex and Nonconvex Risk-Based Linear Regression at Scale
- Risk-averse two-stage stochastic programming with an application to disaster management
- Portfolio choice models based on second-order stochastic dominance measures: an overview and a computational study
- Detecting large risk-averse 2-clubs in graphs with random edge failures
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk
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- Stochastic optimization problems with CVaR risk measure and their sample average approximation
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- The computation of the worst conditional expectation.
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- Conditional value‐at‐risk beyond finance: a survey
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
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