Properties and calculation of multivariate risk measures: MVaR and MCVaR

DOI10.1007/s10479-013-1482-5zbMath1291.91119OpenAlexW1963660158MaRDI QIDQ2449353

Jinwook Lee, Prékopa, András

Publication date: 8 May 2014

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1482-5

zbMATH Keywords

stochastic optimizationmultivariate quantile functionmultivariate risk measuremultivariate stochastic ordermultivariate conditional value-at-risk (MCVaR)multivariate value-at-risk (MVaR)risk management for correlated assets

Mathematics Subject Classification ID

Related Items (11)

Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints ⋮ A multivariate extension of the increasing convex order to compare risks ⋮ A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Risk tomography ⋮ Vector-valued multivariate conditional value-at-risk ⋮ A directional multivariate value at risk ⋮ Computing the probability of union in the $n$-dimensional Euclidean space for application of the multivariate quantile: $p$-level efficient points ⋮ Estimation of the value at risk using the stochastic approach of Taylor formula ⋮ On multivariate extensions of conditional-tail-expectation ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Decision-making from a risk assessment perspective for corporate mergers and acquisitions

Uses Software

• R
• Stata
• SAS

Cites Work

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