We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and the entropic risk measure. We develop numerical schemes for the computation of such risk measures using Fourier transform methods. This leads  to a very competitive method for the calculation of CV@R in particular, which is comparable in computational time to the calculation of V@R  .
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads , in particular, to a very competitive method for the calculation of CV@R which is comparable in computational time to the calculation of V@R . We also develop methods for the efficient computation of risk contributions .
R
the entropic risk measure. We develop numerical schemes
monotone mean-variance. Numerical schemes are developed
R
such
these
A
, in particular,
D
in particular,
A
. We also develop methods for the efficient computation of risk contributions