Dear Gams Friend.

If there is anybody here who models Conditional value at Risk Models by GAMS.

My confusion is on definition of conditional value at Risk. My confusion is given below-

I want to minimize worst case cost and write CVaR as

CVaR =A+(1/1-B) *Sum(s,P(s)*V(s)),

where , A=VaR;

B= confidence level .

Now when I solve the model using B=0.99 or 0.95 or 0.90, I ger VaR=CVaR which is not acceptable. also we get same tail cost for every scenario after solving the model if we such values of B.

When I use B=0.01 or 0.05 or 0.1 then , I get CVaR is greater than VaR that is acceptable and the solution is reasonable.

My question is regarding B. If I write the CVaR equation like above, what should the value of B? In particular, whether 1-B=99% for example Or 1-B=1%.

Please help me clarify on this.

Regards,

Syed

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