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We consider the class of risk measures associated with optimized certaintyequivalents. This class includes several popular examples, such as CV@R andmonotone mean-variance. Numerical schemes are developed for the computation ofthese risk measures using Fourier transform methods. This leads, in particular,to a very competitive method for the calculation of CV@R which is comparable incomputational time to the calculation of V@R. We also develop methods for theefficient computation of risk contributions.

A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents