mlsanityData to 14 Oct 2026

Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation

arXiv 2210.13825 ↗First posted 25 Oct 2022math.OC math.PR q-fin.CPcited by 1

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Abstract (arXiv)

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.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 25 Oct 2022.

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