论文标题
多变量优化确定性等效风险度量及其数值计算
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
论文作者
论文摘要
我们提出了一个框架，用于构建由单变量优化确定性（OCE）风险措施启发的多元风险度量。我们表明，这种新的风险措施验证了理想的属性，例如凸，单调性和现金不变性。我们还使用随机算法来解决其计算的数值方面，而不是使用蒙特卡洛或未提供任何估计误差的傅立叶方法。
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.
