<p>I am currently looking for literature discussing the computational complexity of <a href="https://www.investopedia.com/terms/c/conditional_value_at_risk.asp" rel="nofollow noreferrer">CVaR calculation</a>. At this point the only work I have found is the following.</p>
<p><a href="https://www.sciencedirect.com/science/article/pii/S0304397519305596" rel="nofollow noreferrer">Mavronicolas, Marios, and Burkhard Monien. &quot;Conditional Value-at-Risk: Structure and complexity of equilibria.&quot; Theoretical Computer Science 807 (2020): 266-283.</a></p>
<p>Any other pointer would be greatly appreciated. TIA</p>

CC BY-SA 4.0
2022-11-29T05:19:05.897Z
Have you tried doing a literature search, starting from that paper, and seeing what it cites, and looking on Google Scholar to check out the papers that cite it?
D.W.
CC BY-SA 4.0
2022-11-29T14:10:37.343Z
@D.W., it is cited by 3 papers and probably the most relevant one is Georgiou, Chryssis, Marios Mavronicolas, and Burkhard Monien. "The complexity of (E+ Var)-equilibria, ESR-equilibria, and SuperE-equilibria for 2-players games with few cost values." Theoretical Computer Science 860 (2021): 84-97..
Omar Shehab
CC BY-SA 4.0
2022-11-29T14:25:42.323Z
@D.W., I have also found Mhammedi, Zakaria, Benjamin Guedj, and Robert C. Williamson. "Pac-bayesian bound for the conditional value at risk." Advances in Neural Information Processing Systems 33 (2020): 17919-17930.
Omar Shehab
CC BY-SA 4.0
2022-11-29T16:12:05.540Z
Great.  Please incorporate this into your post, by editing your post, rather than by adding comments here.
D.W.
<optimization><machine-learning><random-walks><monte-carlo>
Computational complexity of CVaR calculation
Omar Shehab
# Computational complexity of CVaR calculation

(Asked by: username_0 on 2022-11-29)

I am currently looking for literature discussing the computational complexity of [CVaR calculation](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp). At this point the only work I have found is the following.

[Mavronicolas, Marios, and Burkhard Monien. "Conditional Value-at-Risk: Structure and complexity of equilibria." Theoretical Computer Science 807 (2020): 266-283.](https://www.sciencedirect.com/science/article/pii/S0304397519305596)

Any other pointer would be greatly appreciated. TIA

**Tags:** optimization, machine-learning, random-walks, monte-carlo
> **Comments:**
> **username_1**: Have you tried doing a literature search, starting from that paper, and seeing what it cites, and looking on Google Scholar to check out the papers that cite it?  
> **username_0**: @D.W., it is cited by 3 papers and probably the most relevant one is Georgiou, Chryssis, Marios Mavronicolas, and Burkhard Monien. "The complexity of (E+ Var)-equilibria, ESR-equilibria, and SuperE-equilibria for 2-players games with few cost values." Theoretical Computer Science 860 (2021): 84-97..  
> **username_0**: @D.W., I have also found Mhammedi, Zakaria, Benjamin Guedj, and Robert C. Williamson. "Pac-bayesian bound for the conditional value at risk." Advances in Neural Information Processing Systems 33 (2020): 17919-17930.  
> **username_1**: Great.  Please incorporate this into your post, by editing your post, rather than by adding comments here.  

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## 0 answers

