| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7543808 | Operations Research Letters | 2018 | 10 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Merve Meraklı, Simge Küçükyavuz,