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arXiv · 1212.6732

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

Samuel Drapeau·Michael Kupper·Antonis Papapantoleon
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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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Samuel Drapeau, Michael Kupper, Antonis Papapantoleon. 2013-12-13. A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents. https://arxiv.org/abs/1212.6732

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