Vector-valued multivariate conditional value-at-risk

Merve Meraklı, Simge Kucukyavuz*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)300-305
Number of pages6
JournalOperations Research Letters
Volume46
Issue number3
DOIs
StatePublished - May 2018

Keywords

  • Conditional value-at-risk
  • Multivariate risk
  • Value-at-risk

ASJC Scopus subject areas

  • Software
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Vector-valued multivariate conditional value-at-risk'. Together they form a unique fingerprint.

Cite this