Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123
The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.
Year of publication: |
2015-04
|
---|---|
Authors: | Delbaen, Freddy |
Institutions: | arXiv.org |
Saved in:
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