Local Stability and Differentiability of the Mean-Conditional Value at Risk Model Defined on the Mixed-Integer Loss Functions

Abstract

The paper deals with an investment problem with CVaR risk measure and mixed-integer value function which models the losses. Qualitative stability of the problem is studied and explicit formulas for the directional derivative of the optimal value function are derived.

Keywords

• mean-CVaR model
• mixed-integer value function
• stability analysis
• contamination techniques
• derivatives of optimal value function