The celebrated Expected Shortfall (ES, also known as tail Value at Risk or conditional Value at Risk) optimization formula implies that ES at a fixed probability level is the minimum of a linear re...

中文翻译：

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逆向 ES (CVaR) 优化公式

著名的预期缺口（ES，也称为尾部风险价值或条件风险价值）优化公式意味着固定概率水平下的 ES 是线性预测的最小值。