• Holly Chung
  • Wednesday, Sept. 15. 4-5 p.m.
  • EH 3866

We study Conditional Value at Risk, or CVaR as an objective function in a set of optimization  problems. Rockafellar and Uryasev suggested a linear programming formulation to solve  such a problem. However, we note a curse of dimensionality issue with their proposal. We  consider a smooth approximation to the objective function. We also, out of necessity, be  concerned with modeling a joint density for the assets we will concern ourselves with and  test our methodology ex-post on real market data.

Advertisements