Papers
Topics
Authors
Recent
Search
2000 character limit reached

Vector-Valued Multivariate Conditional Value-at-Risk

Published 3 Aug 2017 in math.OC and q-fin.RM | (1708.01324v1)

Abstract: In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of VMCVaR over the existing definitions given for continuous random variables when adapted to the discrete case.

Summary

No one has generated a summary of this paper yet.

Sign Up to Summarize

Paper to Video (Beta)

No one has generated a video about this paper yet.

Sign Up to Generate All Videos Subscribe on YouTube

Whiteboard

No one has generated a whiteboard explanation for this paper yet.

Sign Up to Generate

Open Problems

We haven't generated a list of open problems mentioned in this paper yet.

Generate Now

Continue Learning

We haven't generated follow-up questions for this paper yet.

Generate Now

Collections

Sign up for free to add this paper to one or more collections.

Sign Up