A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1212.6732.
Date of creation: Dec 2012
Date of revision: Dec 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
- NEP-CMP-2013-01-07 (Computational Economics)
- NEP-RMG-2013-01-07 (Risk Management)
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