A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

Autor:	Samuel Drapeau, Michael Kupper, Antonis Papapantoleon
Rok vydání:	2014
Předmět:	Class (set theory) CVAR Strategy and Management Computation media_common.quotation_subject Certainty Statistics::Computation Expected shortfall symbols.namesake Monotone polygon Fourier transform symbols Applied mathematics Finance Mathematics media_common
Zdroj:	The Journal of Risk. 16:3-29
ISSN:	1465-1211
DOI:	10.21314/jor.2014.281
Popis:	We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as conditional value-at-risk (CVaR) 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 CVaR, which is comparable in computational time to the calculation of VaR. We also develop methods for the efficient computation of risk contributions.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::7dee26126d225936a4346de7ee0e887b https://doi.org/10.21314/jor.2014.281 Zobrazit plný text záznamu