Recently, a new approach for optimization of conditional value-at-risk (CVAR) was suggested and tested with several applications. For continuous distributions, CVAR is defined as the expected loss ...
By combining Transformer-based sequence modeling with a novel conditional probability strategy, the approach overcomes ...
In this paper, we consider the portfolio optimization problem, with conditional value-at-risk as the objective. We summarize commonly used methods of solution and note that the linear programming (LP) ...