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A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

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DRAPEAU, Samuel, Michael KUPPER, Antonis PAPAPANTOLEON, 2014. A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents. In: The Journal of Risk. 16(6), 329. Available under: doi: 10.21314/JOR.2014.281

@article{Drapeau2014Fouri-29947, title={A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents}, year={2014}, doi={10.21314/JOR.2014.281}, number={6}, volume={16}, journal={The Journal of Risk}, author={Drapeau, Samuel and Kupper, Michael and Papapantoleon, Antonis}, note={Article Number: 329} }

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