  We consider a trader who wants to direct his portfolio towards a set of
acceptable wealths given by a convex risk measure. We propose a black-box
algorithm, whose inputs are the joint law of stock prices and the convex risk
measure, and whose outputs are the numerical values of initial capital
requirement and the functional form of a trading strategy to achieve
acceptability. We also prove optimality of the obtained capital.

Probability;Optimization and Control;Portfolio Management