While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
I'm reading the paper "Optimization of conditional value-at-risk" by Rockafellar and Uryasev. The state two theorems within the paper which are proven in the appendix. Let me introduce some notation ...