Computational Aspects of Robust Optimized Certainty Equivalent

8 February 2018
16:00
Abstract

An extension of the expected shortfall as well as the value at risk to
model uncertainty has been proposed by P. Shige.
In this talk we will present a systematic extension of the general
class of optimized certainty equivalent that includes the expected
shortfall.
We show that its representation can be simplified in many cases for
efficient computations.
In particular we present some result based on a probability model
uncertainty derived from some Wasserstein metric and provide explicit
solution for it.
We further study the duality and representation of them.

This talk is based on a joint work with Daniel Bartlxe and Ludovic
Tangpi

  • Mathematical and Computational Finance Seminar