Addendum to: Entropic value-at-risk: a new coherent risk measure

DOI10.1007/s10957-012-0014-9zbMath1257.91014OpenAlexW2001626210MaRDI QIDQ1935255

Amir Ahmadi-Javid

Publication date: 14 February 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0014-9

zbMATH Keywords

stochastic optimizationstochastic programmingconvex optimizationrelative entropydualitymoment-generating functionvalue-at-risk (VaR)coherent risk measureChernoff inequalityconditional value-at-risk (CVaR)cumulant-generating functionentropic value-at-risk (EVaR)g-entropic risk measure

Mathematics Subject Classification ID

Related Items (2)

An analytical study of norms and Banach spaces induced by the entropic value-at-risk ⋮ Portfolio optimization with entropic value-at-risk

Cites Work

• Generalizations of Slater's constraint qualification for infinite convex programs
• Entropic value-at-risk: a new coherent risk measure
• RISK MEASURES ON ORLICZ HEARTS

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