Adjusted Rényi entropic value-at-risk

DOI10.1016/J.EJOR.2022.08.028OpenAlexW4293385902MaRDI QIDQ2106741FDOQ2106741

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 (3)

• Adjusted empirical likelihood for value at risk and expected shortfall
• Adjusted higher-order expected shortfall
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