Mean-Conditional Value at Risk Optimization is a portfolio optimization framework that belongs to the class of risk-return trade-off models, distinguished by its explicit maximization of expected return subject to a constraint on the Conditional Value at Risk, thereby focusing on minimizing tail risk beyond a specified confidence level.
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Machine Learning and Portfolio Optimization
Gah‐Yi Ban, Noureddine El Karoui, Andrew E. B. Lim · Management Science · 2016 · 280 citations · Full text
Improving Variational Quantum Optimization using CVaR
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McMaster University
Hamilton, Canada
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3 publications
119 citations
Wuhan University
Wuhan, China
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107 citations
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Beijing, China
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10 publications
561 citations
Warsaw University of Technology
Warsaw, Poland
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3 publications
292 citations
SRM Institute of Science and Technology
Chennai, India
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438 citations
University of Vienna
Vienna, Austria
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318 citations
University of Augsburg
Augsburg, Germany
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4 publications
72 citations
Huazhong University of Science and Technology
Wuhan, China
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142 citations
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