An analytical study of norms and Banach spaces induced by the entropic value-at-risk
type: Item
instance of: scholarly article
title: An analytical study of norms and Banach spaces induced by the entropic value-at-risk
zbMATH Open document ID: 1411.91632
author: Amir Ahmadi-Javid
author: Alois Pichler
published in: Mathematics and Financial Economics
publication date: 2017-12-29T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 46E30
zbMATH DE Number: 6821358
zbMATH Keywords: coherent risk measures
zbMATH Keywords: dual representation
zbMATH Keywords: Kusuoka representation
zbMATH Keywords: ambiguity aversion
zbMATH Keywords: Orlicz hearts and spaces
zbMATH Keywords: Orlicz norms
zbMATH Keywords: Luxemburg norms
zbMATH Keywords: \(L^p\) spaces
zbMATH Keywords: moment-generating functions
zbMATH Keywords: cumulant-generating functions
zbMATH Keywords: Donsker-Varadhan variational formula
zbMATH Keywords: large deviations
zbMATH Keywords: relative entropy
zbMATH Keywords: Kullback-Leibler divergence
MaRDI profile type: Publication
full work available at URL: s11579-017-0197-9
OpenAlex ID: W2755916098
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DOI: 10.1007/S11579-017-0197-9
description: scientific article; zbMATH DE number 6821358