An analytical study of norms and Banach spaces induced by the entropic value-at-risk (Q1687378)
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scientific article; zbMATH DE number 6821358
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| English | An analytical study of norms and Banach spaces induced by the entropic value-at-risk |
scientific article; zbMATH DE number 6821358 |
Statements
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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0.8142789602279663
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0.7821763753890991
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0.7810872793197632
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0.7777758240699768
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0.7665360569953918
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