- 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.