The conditional value at risk at level alpha

The mean of x over its worst 1 - alpha fraction of scenarios — at alpha = 0.95, the average of the worst 5%. Minimizing it optimizes the tail instead of the average, and is the usual way to ask for a solution that holds up in bad scenarios rather than merely on average.

Usage

cvar(x, alpha)

Arguments

x

A model expression.

alpha

The tail level, a plain number strictly between 0 and 1; it cannot depend on a decision.

Value

An expression of the same length.