Integration of Conditional Value-at-Risk (CVaR) in Multi-Objective Optimization

This paper explores the integration of Conditional Value-at-Risk (CVaR) into the field of Multi-Objective Optimization (MOO), offering insights into its mathematical basis, significance in risk assessment, and application in complex decision-making scenarios. It discusses the challenges of MOO, presents traditional solution methods, and examines the advantages and limitations of CVaR. The article highlights the flexibility of CVaR as an objective function, particularly in financial portfolio optimization, and discusses future research directions for enhancing its computational techniques, expanding application areas, and improving responsiveness to real-world dynamics.

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Publication Details

Journal
Transactions on Engineering and Technology Research
Published
2024-09-13
DOI
https://doi.org/10.62051/hb75mv91
Citations
1
Primary Topic
Advanced Multi-Objective Optimization Algorithms
Type
article
Field-Weighted Citation Impact
0.36
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article

Integration of Conditional Value-at-Risk (CVaR) in Multi-Objective Optimization

Juandan Luo
1 citations
Transactions on Engineering and Technology Research
Advanced Multi-Objective Optimization Algorithms
0.36
article

Integration of Conditional Value-at-Risk (CVaR) in Multi-Objective Optimization

Juandan Luo
article en
1 citations

Abstract

This paper explores the integration of Conditional Value-at-Risk (CVaR) into the field of Multi-Objective Optimization (MOO), offering insights into its mathematical basis, significance in risk assessment, and application in complex decision-making scenarios. It discusses the challenges of MOO, presents traditional solution methods, and examines the advantages and limitations of CVaR. The article highlights the flexibility of CVaR as an objective function, particularly in financial portfolio optimization, and discusses future research directions for enhancing its computational techniques, expanding application areas, and improving responsiveness to real-world dynamics.

Transactions on Engineering and Technology ResearchVol. 3
Shanghai Jiao Tong University (CN)
Openalex Percentile: Top 36%
Advanced Multi-Objective Optimization Algorithms
0.36
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Integration of Conditional Value-at-Risk (CVaR) in Multi-Objective Optimization — Juandan Luo · Transactions on Engineering and Technology Research (2024) | TGRS Research Map | TGRS