Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
Optimization and Control
2022-12-07 v2 Probability
Computational Finance
Pricing of Securities
Risk Management
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.
Cite
@article{arxiv.2210.13825,
title = {Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation},
author = {Sarah Kaakai and Anis Matoussi and Achraf Tamtalini},
journal= {arXiv preprint arXiv:2210.13825},
year = {2022}
}