VoseOptCVARp | Vose Software


See also: VoseOptCVARx, VoseOptPercentile



Example model

This function is used as a Statistic parameter for Conditional Value-at-Risk calculated at a specific probability within the ModelRisk optimization requirements functions:

VoseOptRequirementMin(Name, Statistic, Value, Enabled)

VoseOptRequirementMax(Name, Statistic, Value, Enabled)

VoseOptRequirementEquals(Name, Statistic, Value, Enabled)

and the ModelRisk optimization target functions:

VoseOptTargetMaximize(Name, Statistic, Enabled)

VoseOptTargetMinimize(Name, Statistic, Enabled)

VoseOptTargetValue(Name, Statistic, Value, Enabled)

The VoseOptCVARp function allows the user to specify, for example, that the target variable (the loss distribution) to be optimised has a Conditional Value-at-Risk, as defined by its probability p, that is to be minimised, maximised or set equal to Value in the above three functions respectively.

Thus, for example,

VoseOptTargetValue(“Cash”, VoseOptCVARp(0.9), 200, TRUE)

will make the Optimizer attempt to find a solution such that the CVAR defined at the 90th percentile of the distribution of the variable “Cash” will equal 200.