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CVaR with linprog
Hello everybody,I need a code that minimize the CVaR with linprog solver, can anybody send to me the code?; I 'll be very grateful;Thanks
CVaR with linprog
Search Wilmott. There is some MATLAB/linprog code shown. [Added 2011-06-04 16:43](The question then will be: does it work or not. Maybe you are better off writing your own code).
Last edited by acastaldo on June 3rd, 2011, 10:00 pm, edited 1 time in total.
CVaR with linprog
thanks for your answer,I know that it is better to write my own code, but I can modify an already one. I checked the paper of Uryasev, and I think that it is difficult to introduce the auxiliary variable as a vector. I used to use a fmincon solver, but I think that it should be better to use the linear programmation; that's why I need a code to modify it.Thanks