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A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents (1212.6732v4)
Published 30 Dec 2012 in q-fin.RM, math.PR, and q-fin.CP
Abstract: We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads, in particular, to a very competitive method for the calculation of CV@R which is comparable in computational time to the calculation of V@R. We also develop methods for the efficient computation of risk contributions.
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