Numerical computation of convex risk measures

G. I. Papayiannis and A. N. Yannacopoulos ()
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G. I. Papayiannis: Athens University of Economics and Business Athens
A. N. Yannacopoulos: Athens University of Economics and Business Athens

Annals of Operations Research, 2018, vol. 260, issue 1, No 19, 417-435

Abstract: 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 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10479-016-2284-3

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