Before revision:  In this paper we propose what is, as far as we are aware, the first analytic approach to problem-driven scenario generation . This approach applies to stochastic programs with a tail risk measure, such as conditional value-at-risk.
After revision:  In this paper we propose what is, as far as we are aware, the first analytic approach to problem-driven scenario generation approach to the single-period portfolio selection problem which use tail risk measures such as conditional value-at-risk.