A multivariate CVaR risk measure from the perspective of portfolio risk management
Author:
Affiliation:
1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada
2. Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, People's Republic of China
Funder
Natural Sciences and Engineering Research Council
National Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.1944905
Reference27 articles.
1. Consistent risk measures for portfolio vectors
2. Conditional tail expectations for multivariate phase-type distributions
3. RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
4. Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
5. On a Geometric Notion of Quantiles for Multivariate Data
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