CVaR Return

Problem

Compute the conditional value at risk of a return distribution at level alpha.

Sort the returns and average the worst ceil(alpha * n) of them, using at least one return. An empty list returns 0.0.

Hint

CVaR averages the tail, not the threshold, so it is a coherent risk measure.

case 1

in: [[1,2,3,4],0.5]

expected: 1.5

case 2

in: [[5],0.1]

expected: 5

case 3

in: [[],0.5]

expected: 0

case 4

in: [[-2,1,3,10,7],0.4]

expected: -0.5

Starter codePython

import math
def cvar_return(returns, alpha):
    # Your code here
    pass

4 test cases · run your code against them in the editor