CVaR (superquantile) norm: Stochastic case ?
CVaR(|X|) is a norm in the space of random variables. CVaR norm as a Measure of Error is related to a Regular Risk Quadrangle. Dual norm for CVaR norm is the maximum of L-1 and scaled L-infinity norms. Trimmed L1-norm is an analog of L-p for p < 1. Linear regression problems were solved by minimizing CVaR norm of residuals.
superquantile cvar norm risk quadrangle linear regression l-p norm