An analytical study of norms and Banach spaces induced by the entropic value-at-risk (Q1687378): Difference between revisions

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Latest revision as of 21:12, 14 July 2024

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An analytical study of norms and Banach spaces induced by the entropic value-at-risk
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    An analytical study of norms and Banach spaces induced by the entropic value-at-risk (English)
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    29 December 2017
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    coherent risk measures
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    dual representation
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    Kusuoka representation
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    ambiguity aversion
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    Orlicz hearts and spaces
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    Orlicz norms
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    Luxemburg norms
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    \(L^p\) spaces
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    moment-generating functions
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    cumulant-generating functions
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    Donsker-Varadhan variational formula
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    large deviations
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    relative entropy
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    Kullback-Leibler divergence
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