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Vector-Valued Multivariate Conditional Value-at-Risk

Merve Merakli and 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.

New Economics Papers: this item is included in nep-rmg
Date: 2017-08
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Handle: RePEc:arx:papers:1708.01324