Chan, Timothy C.Y.; Mahmoudzadeh, Houra; Purdie, Thomas G. - In: European Journal of Operational Research 238 (2014) 3, pp. 876-885
We present a framework to optimize the conditional value-at-risk (CVaR) of a loss distribution under uncertainty. Our model assumes that the loss distribution is dependent on the state of some system and the fraction of time spent in each state is uncertain. We develop and compare two...