2000 character limit reached
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation (2210.13825v2)
Published 25 Oct 2022 in math.OC, math.PR, q-fin.CP, q-fin.PR, and q-fin.RM
Abstract: We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures verifies the desirable properties such as convexity, monotonocity and cash invariance. We also address numerical aspects of their computations using stochastic algorithms instead of using Monte Carlo or Fourier methods that do not provide any error of the estimation.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.