• Speaker: Saman Eskandarzadeh
  • Title: Conditional value at risk measure applications
  • Location: Room V205, Mathematics Building (Callaghan Campus) The University of Newcastle
  • Time and Date: 4:00 pm, Thu, 9th Mar 2017
  • Abstract:

    In this talk, I will describe the conditional value at risk (CVaR) measure used in modelling risk aversion in decision making problems.

    CVaR is a highly consistent risk measure for modelling risk aversion.

    I will then present two applications of CVaR. The first application considers all problems that are representable by decision trees. In this application, I show that these problems under the CVaR criterion can be solved efficiently by solving a linear program. In the second application, I consider a basic problem in the area of production planning with random yield. For this problem, I present a risk aversion model. The model is nonconvex. I present an efficient locally optimal solution method and then provide a sufficient optimality condition.

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