Calculating CVaR needs Gaussian distribution, however, what if the distribution is not Gaussian? Or the distribution is unknown? Can I use many Dirac Delta functions to estimate a distribution and estimate the CVaR？
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3Computing the conditional value at risk does not require the distribution to be Gaussian. – Chris Haug Aug 16 '20 at 16:21
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Thanks. For any distractions of cost, is CVaR always larger than the mean value? – GoingMyWay Sep 25 '20 at 16:01