Properties and calculation of multivariate risk measures: MVaR and MCVaR (Q2449353)
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scientific article; zbMATH DE number 6293010
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| English | Properties and calculation of multivariate risk measures: MVaR and MCVaR |
scientific article; zbMATH DE number 6293010 |
Statements
Properties and calculation of multivariate risk measures: MVaR and MCVaR (English)
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8 May 2014
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multivariate risk measure
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multivariate value-at-risk (MVaR)
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multivariate conditional value-at-risk (MCVaR)
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multivariate quantile function
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multivariate stochastic order
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risk management for correlated assets
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stochastic optimization
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0.8803421258926392
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0.8311120271682739
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0.8260520100593567
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0.8257590532302856
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0.8201443552970886
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