Vector-valued multivariate conditional value-at-risk

Merve Meraklı; Simge Kucukyavuz

doi:10.1016/j.orl.2018.02.006

Vector-valued multivariate conditional value-at-risk

Merve Meraklı, Simge Kucukyavuz^*

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Contribution to journal › Article › peer-review

5 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 language	English (US)
Pages (from-to)	300-305
Number of pages	6
Journal	Operations Research Letters
Volume	46
Issue number	3
DOIs	https://doi.org/10.1016/j.orl.2018.02.006
State	Published - 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

Access to Document

10.1016/j.orl.2018.02.006

Cite this

@article{d130018f049a47b6b62119fb395b85ad,

title = "Vector-valued multivariate conditional value-at-risk",

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.",

keywords = "Conditional value-at-risk, Multivariate risk, Value-at-risk",

author = "Merve Meraklı and Simge Kucukyavuz",

note = "Funding Information: We thank the reviewer and Nilay Noyan for their valuable comments that improved the paper. We especially thank the reviewer for the second statement in part (iv) of Proposition 2.3 and its proof. The authors are supported, in part, by National Science Foundation Grant 1733001 . Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",

year = "2018",

month = may,

doi = "10.1016/j.orl.2018.02.006",

language = "English (US)",

volume = "46",

pages = "300--305",

journal = "Operations Research Letters",

issn = "0167-6377",

publisher = "Elsevier",

number = "3",

}

TY - JOUR

T1 - Vector-valued multivariate conditional value-at-risk

AU - Meraklı, Merve

AU - Kucukyavuz, Simge

N1 - Funding Information: We thank the reviewer and Nilay Noyan for their valuable comments that improved the paper. We especially thank the reviewer for the second statement in part (iv) of Proposition 2.3 and its proof. The authors are supported, in part, by National Science Foundation Grant 1733001 . Publisher Copyright: © 2018 Elsevier B.V.

PY - 2018/5

Y1 - 2018/5

N2 - 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.

AB - 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.

KW - Conditional value-at-risk

KW - Multivariate risk

KW - Value-at-risk

UR - http://www.scopus.com/inward/record.url?scp=85043981147&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85043981147&partnerID=8YFLogxK

U2 - 10.1016/j.orl.2018.02.006

DO - 10.1016/j.orl.2018.02.006

M3 - Article

AN - SCOPUS:85043981147

SN - 0167-6377

VL - 46

SP - 300

EP - 305

JO - Operations Research Letters

JF - Operations Research Letters

IS - 3

ER -

Vector-valued multivariate conditional value-at-risk

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this