Entropy based risk measures

DOI10.1016/j.ejor.2019.01.016zbMath1441.91091arXiv1801.07220OpenAlexW2964128834MaRDI QIDQ2183329

Ruben Schlotter, Alois Pichler

Publication date: 26 May 2020

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.07220

zbMATH Keywords

risk measuresstochastic dominancedual representationrearrangement inequalities

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Measures of information, entropy (94A17) Risk models (general) (91B05)

Related Items (6)

Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment ⋮ A multistage distributionally robust optimization approach to water allocation under climate uncertainty ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution ⋮ Adjusted Rényi entropic value-at-risk ⋮ Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures

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