Annals of Operations Research

, Volume 260, Issue 1–2, pp 417–435 | Cite as

Numerical computation of convex risk measures

S.I.: Advances of OR in Commodities and Financial Modelling
First Online:

Abstract

In this work we consider the problem of numerical computation of convex risk measures, using a regularization scheme to account for undesirable fluctuations in the available historical data, combined with techniques from the Calculus of Variations.

Keywords

Risk management Convex risk measures Entropic risk measures Numerical calculation 
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Notes

Acknowledgments

The authors wish to thank the four anonymous referees for their useful comments that enhanced the presentation of the results of the paper. We also wish to thank Professor G. W. Weber for his kind support and for useful discussions.

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.Athens University of Economics and Business AthensAthinaGreece

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