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 adapt…
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Robust MCVaR portfolio optimization using RKHS for risk management.
problem Minimizing portfolio risk while achieving higher returns under uncertainty.
method Introduces a robust MCVaR model with ellipsoidal support and RKHS uncertainty set for chance constraint.
result Robust model outperforms nominal and market portfolios in various market conditions.