CVaR2 Deviation (cvar2_dev)
Contents
CVaR2 Deviation, which is an element of CVaR (Superquantile) quadrangle (see [1])
Syntax
cvar2_dev(α, matrix) |
short call |
cvar2_dev_name(α, matrix) |
call with optional name |
Parameters
is a confidence level.
matrix is a Matrix of Scenarios:
where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.
Mathematical Definition
CVaR2 Deviation function is calculated as follows:
,
where
is CVaR2 Risk function,
is Average function.
Example
References
[1] Rockafellar,R. T. , Royset, J. O., and S. I. Miranda (2014): Superquantile Regression with Applications to Buffered Reliability, Uncertainty Quantification and Conditional Value-at-Risk. European J. Operations Research 234 (2014), 140-154.
See also