I want to use cvx to solve a stochastic optimization problem. The objective is to minimize the expectation of L-B*r’*x, which represents the expected shortfall of the portfolio. But how can I express ‘expectation’ in cvx?

# How to minimize an 'expectation' in cvx?

There is no ‘expectation’ in CVX. You must perform the expectation calculation yourself, resulting in a convex optimization problem. If you need help with how to do this, or to determine whether it is possible, you need to seek help elsewhere

Unless you do this, you cannot use CVX.

I understand. Thank you!