VoseOptCVARx | Vose Software


See also: VoseOptCVARp, VoseOptPercentile




Example model
This function is used as a Statistic parameter for Conditional Value-at-Risk calculated at a specific value of the variable 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 VoseOptCVARx function allows the user to specify, for example, that the target variable (the loss distribution) to be optimised has a Conditional Value-at-Risk at some cutoff value, that is to be minimised, maximised or set equal to Value in the above three functions respectively.

Thus, for example,

VoseOptTargetValue(“Cash”, VoseOptCVARx(120), 200, TRUE)

will make the Optimizer attempt to find a solution such that the CVAR from a cutoff of 120 of the distribution of the variable “Cash” will equal 200.