Entropic value-at-risk: a new coherent risk measure (Q1935272): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10957-011-9968-2 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2031355801 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Entropic value-at-risk: a new coherent risk measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex measures of risk and trading constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimization of Convex Risk Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On convex risk measures on \(L^{p}\)-spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subdifferential representations of risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Measures and Robust Optimization Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3512416 / rank
 
Normal rank
Property / cites work
 
Property / cites work: CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY / rank
 
Normal rank
Property / cites work
 
Property / cites work: RISK MEASURES: RATIONALITY AND DIVERSIFICATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Compatibility between pricing rules and risk measures: The CCVaR / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness and sensitivity analysis of risk measurement procedures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5461830 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Axiomatic characterization of insurance prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: A comonotonic image of independence for additive risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk measurement with equivalent utility principles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized deviations in risk analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimality conditions in portfolio analysis with general deviation measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convexity and decomposition of mean-risk stochastic programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Polyhedral Risk Measures in Stochastic Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4082912 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4388221 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5494167 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5601960 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5539510 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3803964 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Entropy, divergence and distance measures with econometric applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Information and Sufficiency / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT / rank
 
Normal rank

Latest revision as of 04:21, 6 July 2024

scientific article
Language Label Description Also known as
English
Entropic value-at-risk: a new coherent risk measure
scientific article

    Statements

    Entropic value-at-risk: a new coherent risk measure (English)
    0 references
    14 February 2013
    0 references
    Chernoff inequality
    0 references
    coherent risk measure
    0 references
    conditional value-at-risk (CVaR)
    0 references
    convex optimization
    0 references
    cumulant-generating function
    0 references
    duality
    0 references
    entropic value-at-risk (EVaR)
    0 references
    g-entropic risk measure
    0 references
    moment-generating function
    0 references
    relative entropy
    0 references
    stochastic optimization
    0 references
    stochastic programming
    0 references
    value-at-risk (VaR)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers