Convex properties of the quantile function in stochastic programming

Consideration was given to the problem of stochastic programming with the quantile (VaR) criterion. Conditions related with the characteristics of probabilistic distributions under which the quantile function is convex in strategy were presented. Relationship between convexity of the quantile function and convexity of the function of integral (CVaR) quantile criterion was shown.

Presented by the member of Editorial Board: B. T. Polyak