Entropic value-at-risk: a new coherent risk measure (Q1935272)
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scientific article; zbMATH DE number 6136256
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Entropic value-at-risk: a new coherent risk measure |
scientific article; zbMATH DE number 6136256 |
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Entropic value-at-risk: a new coherent risk measure (English)
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14 February 2013
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Chernoff inequality
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coherent risk measure
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conditional value-at-risk (CVaR)
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convex optimization
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cumulant-generating function
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duality
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entropic value-at-risk (EVaR)
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g-entropic risk measure
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moment-generating function
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relative entropy
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stochastic optimization
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stochastic programming
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value-at-risk (VaR)
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