An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Publication:1687378
DOI10.1007/s11579-017-0197-9zbMath1411.91632OpenAlexW2755916098MaRDI QIDQ1687378
Alois Pichler, Amir Ahmadi-Javid
Publication date: 29 December 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0197-9
relative entropylarge deviationsKullback-Leibler divergencecoherent risk measuresambiguity aversion\(L^p\) spacesdual representationLuxemburg normsOrlicz normsKusuoka representationmoment-generating functionscumulant-generating functionsDonsker-Varadhan variational formulaOrlicz hearts and spaces
Statistical methods; risk measures (91G70) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial applications of other theories (91G80)
Related Items (8)
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