Before revision:  In this paper we propose a problem-driven scenario generation methodology for portfolio selection problems using a tail risk measure where the the asset returns have elliptical or near-elliptical distribution.
After revision:  In this paper we propose what is, as far as we are aware, the first analytic approach to problem-driven scenario generation methodology for portfolio selection problems using a tail risk measure where the the asset returns have elliptical or near-elliptical distribution.