Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation

Charles Audet, Jean Bigeon, Romain Couderc, Michael Kokkolaras

Year of publication:	[2022]
Authors:	Audet, Charles ; Bigeon, Jean ; Couderc, Romain ; Kokkolaras, Michael
Publisher:	Montréal (Québec), Canada : GERAD, HÉC Montréal
Subject:	Risk-adverse optimization \| Conditional Value-at-Risk \| stochastic approximation \| derivative-free optimization \| non convex optimization \| Risikomaß \| Risk measure \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Stochastischer Prozess \| Stochastic process \| Portfolio-Management \| Portfolio selection

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