A multivariate CVaR risk measure from the perspective of portfolio risk management

Jun Cai, Huameng Jia and Tiantian Mao

Scandinavian Actuarial Journal, 2022, vol. 2022, issue 3, 189-215

Abstract: In this paper, we define a new multivariate conditional Value-at-Risk (MCVaR) risk measure. This MCVaR considers both individual risks and the aggregate risk of a portfolio, but prioritizes the aggregate risk. The new MCVaR risk measure is based on the minimization of the expectation of a multivariate loss function, which balances the shortfall and surplus risks of the aggregate risk and the individual risks in an overall risk of a portfolio. It is shown that the MCVaR risk measure holds the properties of positive homogeneity, translation invariance, subadditivity, and monotonicity under certain conditions. Numerical examples of the MCVaR risk measure are presented to illustrate the effect of dependence among individual risks on the MCVaR.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.2021.1944905 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2022:y:2022:i:3:p:189-215

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.2021.1944905

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().