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Hard · portfolio_optimization · Quant Researcher interview question · portfolio-optimization, cvar, risk-management, gradient, tail-risk
Conditional Value-at-Risk (CVaR), or Expected Shortfall, is a coherent risk measure that quantifies the average loss in the worst-case scenarios. Its gradient with respect to portfolio weights is a critical input for gradient-based optimization algorithms used in portfolio management and risk-parity strategies. This allows portfolio managers to systematically adjust asset allocations to minimize tail risk. Task Implement the function solution(scenarios: list, w: list, alpha: float) -> list to c