# Vector-Valued Multivariate Conditional Value-at-Risk

arXiv: https://arxiv.org/abs/1708.01324 · HTML: https://mlsanity.com/paper/1708.01324/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 3 Aug 2017.

## Built on by (most cited first, 1 of 1)

- [Robust Multi-Objective Bayesian Optimization Under Input Noise](https://mlsanity.com/paper/2202.07549/) (2022)

## 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.