Entropy Coherent and Entropy Convex Measures of Risk

DOI10.1287/moor.1120.0559zbMath1297.91090OpenAlexW2129711311MaRDI QIDQ5169665

Roger J. A. Laeven, Mitja Stadje

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://pure.uva.nl/ws/files/1908068/123914_394562.pdf

zbMATH Keywords

robustnessrelative entropyconvexitycertainty equivalenttranslation invarianceexponential utilityconvex risk measuresmultiple priorsvariational and homothetic preferences

Mathematics Subject Classification ID

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