Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … linear regression can be reduced to minimizing the Rockafellar error function with linear programming. The theoretical basis …. Alternatively, a two-stage procedure based on the decomposition theorem can be used for CVaR linear regression with both sets of …