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 …

returns and their compensation for entropy risk. Entropy risk premium (ERP), the difference of entropy under the physical and …We develop a new approach to determine investors' risk compensations for all distributional moments of a security …. Using the concept of entropy, a summary of all moments of a risky security, we derive the relationship between expected …