most citedMultivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions

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math.ST2023★ 1 cited

Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions

Baishuai Zuo, Chuancun Yin, Jing Yao

In this paper, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in…