A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents

Samuel Drapeau, Michael Kupper and Antonis Papapantoleon

Papers from arXiv.org

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.

Date: 2012-12, Revised 2013-12
New Economics Papers: this item is included in nep-cmp and nep-rmg
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Published in Journal of Risk 16(6), 3-29, 2014

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1212.6732

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