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RESEARCH ARTICLE
Utility‐based shortfall risk: Efficient computations via Monte Carlo
Utility‐based shortfall risk: Efficient computations via Monte Carlo
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Abstract
With the development of financial risk management, the notion of convex risk measures has been proposed and has gained increasing attentions. Utility‐based shortfall risk (SR), as a specific and important class of convex risk measures, has become popular in recent years. In this paper we focus on the computational aspects of SR, which are significantly understudied but fundamental for risk assessment and management. We discuss efficient estimation, optimization, and sensitivity analysis of SR, based on Monte Carlo techniques and stochastic optimization methods. We also conduct extensive numerical studies on the proposed approaches. The numerical results further demonstrate the effectiveness of these approaches.
Identifiers
journal ISSN : | 0894-069X |
journal e-ISSN : | 1520-6750 |
DOI | 10.1002/nav.21814 |
Authors
Dali Zhang
- Sino‐US Global Logistics Institute, Antai College of Economics and Management, Shanghai Jiao Tong University
Keywords
Additional information
Data set: Wiley
Fields of science
article