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

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Publication:1935272


DOI10.1007/s10957-011-9968-2zbMath1257.91024WikidataQ30053437 ScholiaQ30053437MaRDI QIDQ1935272

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/s10957-011-9968-2


91G10: Portfolio theory


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