“…We focus on the CVaR, which has been used, for example, to solve the portfolio optimization problem (e.g., Rockafellar & Uryasev,
2000; Staino & Russo,
2020), to analyze production decisions by risk electricity producers (e.g., Conejo et al.,
2010), to choose technology adoption in fleet management (e.g., Ansaripoor et al.,
2016) and commodity and energy operations (Devalkar et al.,
2018; Oliveira & Ruiz,
2020), and to study the news‐vendor problem (e.g., Chen et al.,
2009,
2015; Yang et al.,
2018). The value‐at‐risk ( VaR ) is a quantile that is a function of the proportion of observations in the tail,
, and actions,
.…”