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arXiv · 1708.01324

Vector-Valued Multivariate Conditional Value-at-Risk

Merve Merakli·Simge Kucukyavuz
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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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Merve Merakli, Simge Kucukyavuz. 2017-08-03. Vector-Valued Multivariate Conditional Value-at-Risk. https://doi.org/10.1016/j.orl.2018.02.006

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