Conditional Value At Risk Constraint

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Description

A conditional value at risk (CVaR) constraint is a constraint available in Risk Solver Platform. It places a bound on the average magnitude of the violations that may occur. Thus, the (CVaR) constraint is a more conservative version of the VaR constraint.

Concept Prerequisite

Wikipedia Reference

http://en.wikipedia.org/wiki/Conditional Value-at-Risk

Learning Material

Covered in Topic(s)

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