Vector-valued multivariate conditional value-at-risk |
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| Authors: | Merve Meraklı Simge Küçükyavuz |
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| Affiliation: | Industrial and Systems Engineering, University of Washington, Seattle, WA, USA |
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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 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. |
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| Keywords: | Conditional value-at-risk Multivariate risk Value-at-risk |
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