期刊
OPERATIONS RESEARCH LETTERS
卷 46, 期 3, 页码 300-305出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.orl.2018.02.006
关键词
Conditional value-at-risk; Multivariate risk; Value-at-risk
资金
- National Science Foundation [1733001]
- Div Of Civil, Mechanical, & Manufact Inn
- Directorate For Engineering [1733001] Funding Source: National Science Foundation
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.
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