collaborators

1 paper

math.OC2026

Exponential Adaptive Smoothing and Importance Sampling for Optimization of the Conditional Value-at-Risk

Will Asness, Brendan Keith, Boyan Lazarov +2

We present a novel method for solving conditional value-at-risk (CVaR) optimization problems based on the dual representation of CVaR, which is defined as the worst-case expectatio…