Journal
OPERATIONS RESEARCH LETTERS
Volume 46, Issue 3, Pages 300-305Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.orl.2018.02.006
Keywords
Conditional value-at-risk; Multivariate risk; Value-at-risk
Categories
Funding
- National Science Foundation [1733001]
- Div Of Civil, Mechanical, & Manufact Inn
- Directorate For Engineering [1733001] Funding Source: National Science Foundation
Ask authors/readers for more resources
In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for arbitrary probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of VMCVaR over the existing definitions particularly for discrete random variables. (C) 2018 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available
Share Paper
