Vector-Valued Multivariate Conditional Value-at-Risk

DOI10.1016/J.ORL.2018.02.006MaRDI QIDQ6289767arXivWikidataFDO

Authors Merve Meraklı, Simge Küçükyavuz

Publication date 3 August 2017

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Multi-objective and goal programming (90C29) Statistical methods; risk measures (91G70) Stochastic programming (90C15)

Abstract: In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of VMCVaR over the existing definitions given for continuous random variables when adapted to the discrete case.

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