Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
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DOI: 10.1007/s10479-019-03366-0
Abstract: Recent studies in Lee and Prekopa (Oper Res Lett 45:19–24, 2017) and Lee (Oper Res Lett 45:1204–1220, 2017) showed that a union of partially ordered orthants in $$R^n$$ can be decomposed only into the largest… read more here.
Keywords: value risk; conditional value; oper res; res lett ... See more keywords