Vector-Valued Multivariate Conditional Value-at-Risk
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Abstract (arXiv)
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.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 3 Aug 2017.
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