Handling CVaR objectives and constraints in two-stage stochastic models ?
Based on the polyhedral representation of Knzi-Bay and Mayer [Knzi-Bay, A., Mayer, J., 2006. Computational aspects of minimizing conditional value-at-risk. Computational Management Science 3, 327] , we propose decomposition frameworks for handling CVaR objectives and constraints in two-stage stochastic models. For the solution of the decomposed problems we propose special Level-type methods.
stochastic programming finance convex programming decomposition methods