Entropic risk measure EVaR real data testing (Q6921723)
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scientific article; zbMATH DE number 8101196
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| default for all languages | No label defined |
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| English | Entropic risk measure EVaR real data testing |
scientific article; zbMATH DE number 8101196 |
Statements
Entropic risk measure EVaR real data testing (English)
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6 October 2025
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Entropic Value-at-Risk
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EVaR
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coverage tests
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heavy tails
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real data analysis
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Laplace distribution
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