Nguyen, Ngoc Quynh Anh; Nguyen, Thi Ngoc Trang - In: The Journal of Risk Finance 18 (2017) 1, pp. 76-87
involves the moment generating function which is closely related to the characteristic function. The expectile risk measure is … study to consider the computation of entropic value-at-risk, semivariance as well as expectile risk measure using Fourier …