Properties and calculation of multivariate risk measures: MVaR and MCVaR (Q2449353)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Properties and calculation of multivariate risk measures: MVaR and MCVaR |
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Properties and calculation of multivariate risk measures: MVaR and MCVaR (English)
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8 May 2014
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multivariate risk measure
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multivariate value-at-risk (MVaR)
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multivariate conditional value-at-risk (MCVaR)
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multivariate quantile function
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multivariate stochastic order
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risk management for correlated assets
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stochastic optimization
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