Concepedia

Cvar Optimization

CVaR Optimization is a risk-sensitive decision-making framework that belongs to the class of stochastic optimization methods, distinguished by its focus on minimizing the Conditional Value-at-Risk—a coherent measure of tail risk—thereby prioritizing performance in the worst-case outcomes beyond a specified quantile threshold.

208

Publications

16.3K

Citations

543

Authors

282

Institutions

Publications per year

2017–2026

115

Variants

Conditional Value-at-risk Optimization

Parents

Publications

208

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

, , +17

Portfolio optimization with conditional value-at-risk objective and constraints

Pavlo A. Krokhmal, tanislav Uryasev, Jonas Palmquist · The Journal of Risk · 2001 · 778 citations

, , +17

Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

Shushang Zhu, Masao Fukushima · Operations Research · 2009 · 521 citations

, , +17

Conditional value-at-risk: optimization algorithms and applications

Stan Uryasev · 2002 · 376 citations

, , +17

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

Gordon J. Alexander, Alexandre M. Baptista · Management Science · 2004 · 342 citations

, , +17

1–5 of 208

Authors

543

  1. SU
    Stan Uryasev

    University of Florida, United States

    6 publications · 7K citations

    6

    h-index

  2. SM
    Shie Mannor

    Technion – Israel Institute of Technology, Israel

    5 publications · 328 citations

    5

    h-index

  3. AT
    Aviv Tamar

    Technion – Israel Institute of Technology, Israel

    5 publications · 328 citations

    5

    h-index

  4. MG
    M. Grazia Speranza

    University of Brescia, Italy

    4 publications · 207 citations

    4

    h-index

  5. SZ
    Shushang Zhu

    Fudan University, China

    4 publications · 779 citations

    4

    h-index

1–5 of 543

Institutions

282

  1. University of Florida

    Gainesville, United States

    8 h-index

    8 publications

    1.4K citations

  2. North China Electric Power University

    Beijing, China

    7 h-index

    7 publications

    407 citations

  3. National University of Singapore

    Singapore, Singapore

    6 h-index

    6 publications

    535 citations

  4. Hong Kong Polytechnic University

    Hong Kong, Hong Kong

    6 h-index

    6 publications

    249 citations

  5. South China University of Technology

    Guangzhou, China

    5 h-index

    5 publications

    199 citations

  6. Technion – Israel Institute of Technology

    Haifa, Israel

    5 h-index

    5 publications

    328 citations

  7. Guangdong University of Technology

    Guangzhou, China

    4 h-index

    4 publications

    172 citations

  8. Shandong University

    Jinan, China

    4 h-index

    4 publications

    197 citations

1–8 of 282

Venues

  1. European Journal of Operational Research

    10 publications · 489 citations

    10

    h-index

  2. arXiv (Cornell University)

    Repository · 12 publications · 342 citations

    10

    h-index

  3. International Journal of Production Economics

    7 publications · 412 citations

    7

    h-index

  4. Annals of Operations Research

    7 publications · 269 citations

    7

    h-index

  5. Quantitative Finance

    7 publications · 371 citations

    7

    h-index

1–5