Vector-Valued Multivariate Conditional Value-at-Risk

Merve Merakli and Simge Kucukyavuz

Papers from arXiv.org

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.

Date: 2017-08
New Economics Papers: this item is included in nep-rmg
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Published in Operations Research Letters, 46(3), 300-305, 2018

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1708.01324

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