Entropic value-at-risk: a new coherent risk measure
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Publication:1935272
DOI10.1007/s10957-011-9968-2zbMath1257.91024WikidataQ30053437 ScholiaQ30053437MaRDI QIDQ1935272
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
stochastic optimization; stochastic programming; convex optimization; relative entropy; duality; moment-generating function; value-at-risk (VaR); coherent risk measure; Chernoff inequality; conditional value-at-risk (CVaR); cumulant-generating function; entropic value-at-risk (EVaR); g-entropic risk measure
91G10: Portfolio theory
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