Vector-valued multivariate conditional value-at-risk

DOI10.1016/J.ORL.2018.02.006MaRDI QIDQ2417154zbMATH OpenOpenAlexWikidataFDO

Authors Merve Meraklı, Simge Küçükyavuz

Publication date 11 June 2019

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.01324

zbMATH Keywords

conditional value-at-riskmultivariate riskvalue-at-risk

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

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• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Multivariate value at risk and related topics
• On multivariate extensions of conditional-tail-expectation
• On multivariate extensions of the conditional value-at-risk measure
• On multivariate extensions of value-at-risk
• Optimization with Multivariate Conditional Value-at-Risk Constraints
• Optimization with stochastic preferences based on a general class of scalarization functions
• Properties and calculation of multivariate risk measures: MVaR and MCVaR
• Risk tomography
• Robust multicriteria risk-averse stochastic programming models
• Set-valued average value at risk and its computation

Cited in

(13)

• Vector risk functions
• Multivariate Fréchet copulas and conditional value-at-risk
• Inference for conditional value-at-risk of a predictive regression
• scientific article; zbMATH DE number 5812404 (Why is no real title available?)
• PRINCIPAL COMPONENT VALUE AT RISK
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• Computational Science - ICCS 2004
• A new coherent multivariate average-value-at-risk
• Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
• Vector-Valued Multivariate Conditional Value-at-Risk
• On risk evaluation and control of distributed multi-agent systems
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

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