Vector-Valued Multivariate Conditional Value-at-Risk
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Publication:6289767
DOI10.1016/J.ORL.2018.02.006arXiv1708.01324WikidataQ130160391 ScholiaQ130160391MaRDI QIDQ6289767FDOQ6289767
Authors: Merve Meraklı, Simge Küçükyavuz 
Publication date: 3 August 2017
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.
Applications of statistics to actuarial sciences and financial mathematics (62P05) Multi-objective and goal programming (90C29) Statistical methods; risk measures (91G70) Stochastic programming (90C15)
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