Entropic value-at-risk: a new coherent risk measure
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Publication:1935272
DOI10.1007/s10957-011-9968-2zbMath1257.91024OpenAlexW2031355801WikidataQ30053437 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 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
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