Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation

Sarah Kaakai, Anis Matoussi and Achraf Tamtalini
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Sarah Kaakai: LMM
Anis Matoussi: LMM
Achraf Tamtalini: LMM

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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.

Date: 2022-10, Revised 2022-12
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2210.13825

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