An analytical study of norms and Banach spaces induced by the entropic value-at-risk

DOI10.1007/s11579-017-0197-9zbMath1411.91632OpenAlexW2755916098MaRDI QIDQ1687378

Alois Pichler, Amir Ahmadi-Javid

Publication date: 29 December 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-017-0197-9

zbMATH Keywords

relative entropylarge deviationsKullback-Leibler divergencecoherent risk measuresambiguity aversion\(L^p\) spacesdual representationLuxemburg normsOrlicz normsKusuoka representationmoment-generating functionscumulant-generating functionsDonsker-Varadhan variational formulaOrlicz hearts and spaces

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial applications of other theories (91G80)

Related Items

Entropy based risk measures ⋮ Wasserstein Sensitivity of Risk and Uncertainty Propagation ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures ⋮ Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping ⋮ Portfolio optimization with entropic value-at-risk ⋮ On Banach spaces of vector-valued random variables and their duals motivated by risk measures ⋮ Fractional risk process in insurance ⋮ Adjusted Rényi entropic value-at-risk

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