Properties and calculation of multivariate risk measures: MVaR and MCVaR

DOI10.1007/s10479-013-1482-5zbMath1291.91119MaRDI QIDQ2449353

Jinwook Lee, Prékopa, András

Publication date: 8 May 2014

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1482-5

zbMATH Keywords

stochastic optimization; multivariate quantile function; multivariate risk measure; multivariate stochastic order; multivariate conditional value-at-risk (MCVaR); multivariate value-at-risk (MVaR); risk management for correlated assets

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62P05: Applications of statistics to actuarial sciences and financial mathematics

90C15: Stochastic programming

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Uses Software

• R
• Stata
• SAS

Cites Work

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