Marek Petrik

Computing Monetary Risk Measures in Linear Time

Palash Agrawal, Gersi Doko, Maeve Burwell, Marek Petrik

Monetary risk measures have gained popularity for expressing decision-makers' risk aversion. Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR), in particular, are used commonly for this purpose. This paper proposes new efficient algorithms to compute these risk measures fo…Read more