conditional value at risk (Cvar)

Problems with syntax of GAMS
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behrad
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conditional value at risk (Cvar)

Post by behrad » 3 months ago

Hi
I have a risk-constrained two-stage stochastic optimization problem. However, the Cvar value does not change with the Beta changes. (Beta is Weighting factor for the values of expected cost and risk).
Can anyone guide me on this?

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