Vector-Valued Multivariate Conditional Value-at-Risk

Published 3 Aug 2017 in math.OC and q-fin.RM | (1708.01324v1)

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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