Adjusted Rényi entropic value-at-risk

DOI10.1016/J.EJOR.2022.08.028MaRDI QIDQ2106741zbMATH OpenOpenAlexFDO

Authors Zhenfeng Zou, Qinyu Wu, Zichao Xia, Taizhong Hu

Publication date 19 December 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2022.08.028

zbMATH Keywords

applied probabilityconvex risk measurecoherent risk measureincreasing convex orderrisk profile

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cited in

(4)

• Adjusted empirical likelihood for value at risk and expected shortfall
• Properties of the entropic risk measure EVaR in relation to selected distributions
• Adjusted higher-order expected shortfall
• scientific article; zbMATH DE number 754189 (Why is no real title available?)

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