Properties of the entropic risk measure EVaR in relation to selected distributions

DOI10.15559/24-VMSTA255MaRDI QIDQ6624007FDOQ6624007

Authors: Yuliya S. Mishura, K. V. Ral'chenko, Petro Zelenko 

Publication date: 24 October 2024

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

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zbMATH Keywords

Poisson distributiongamma distributionLaplace distributionnormal inverse Gaussian distributioninverse Gaussian distributionLambert functionentropic value-at-risk

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Statistical methods; risk measures (91G70)

Cites Work

• Coherent measures of risk
• On the Lambert \(w\) function
• A quantitative comparison of risk measures
• Convex measures of risk and trading constraints
• Stochastic finance. An introduction in discrete time.
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
• Portfolio optimization with entropic value-at-risk
• Entropic value-at-risk: a new coherent risk measure
• Title not available (Why is that?)
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• Entropy based risk measures

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