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

DOI10.15559/24-VMSTA255MaRDI QIDQ6624007zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.15559/24-VMSTA255

zbMATH Keywords

entropic value-at-riskgamma distributioninverse Gaussian distributionLambert functionLaplace distributionnormal inverse Gaussian distributionPoisson distribution

Mathematics Subject Classification ID

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

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Cites work

• A quantitative comparison of risk measures
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
• Entropic value-at-risk: a new coherent risk measure
• Entropy based risk measures
• scientific article; zbMATH DE number 903395 (Why is no real title available?)
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On the Lambert \(w\) function
• Portfolio optimization with entropic value-at-risk
• Stochastic finance. An introduction in discrete time.

Cited in

(2)

• Entropies of the Poisson distribution as functions of intensity: ``normal and ``anomalous behavior
• Entropies of Cox-Ingersoll-Ross and Bessel processes as functions of time and of related parameters

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