A multivariate CVaR risk measure from the perspective of portfolio risk management
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DOI: 10.1080/03461238.2021.1944905
Abstract: In this paper, we define a new multivariate conditional Value-at-Risk (MCVaR) risk measure. This MCVaR considers both individual risks and the aggregate risk of a portfolio, but prioritizes the aggregate risk. The new MCVaR risk… read more here.
Keywords: risk; mcvar risk; risk measure; portfolio ... See more keywords