Anderson, Edward; Xu, Huifu; Zhang, Dali - Business School, University of Sydney - 2014
Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the confidence level of CVaR … is set close to 1, the CVaR risk measure approximates the extreme (worst scenario) risk measure. In this paper, we … the benefits of a sample average approximation scheme for the CVaR constraints and investigate the convergence of the …