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On a family of risk measures based on proportional hazards models and tail probabilities
Psarrakos, Georgios; Sordo, Miguel A. - In: Insurance / Mathematics & economics 86 (2019), pp. 232-240
Persistent link: https://www.econbiz.de/10012058865
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Exploring entropy-based portfolio strategies : empirical analysis and cryptocurrency impact
Giunta, Nicolò; Orlando, Giuseppe; Carleo, Alessandra; … - In: Risks : open access journal 12 (2024) 5, pp. 1-26
This study addresses market concentration among major corporations, highlighting the utility of relative entropy for … understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted …
Persistent link: https://www.econbiz.de/10014636599
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Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
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Entropy coherent and entropy convex measures of risk
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 38 (2013) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10009751526
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Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
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ICO Tokens as an Alternative Financial Instrument: A Risk Measurement
Kuryłek, Zbigniew - In: European research studies 23 (2020) 4, pp. 512-530
Persistent link: https://www.econbiz.de/10012511254
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A numerical approach to the risk capital allocation problem
Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
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Entropy based risk measures
Pichler, Alois; Schlotter, Ruben - In: European journal of operational research : EJOR 285 (2020) 1, pp. 223-236
Persistent link: https://www.econbiz.de/10012239544
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Dual representations for systemic risk measures
Ararat, Çağın; Rudloff, Birgit - In: Mathematics and financial economics 14 (2020) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
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Set-valued shortfall and divergence risk measures
Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48
Persistent link: https://www.econbiz.de/10011733939