Entropic value at risk to find the optimal uncertain random portfolio
Author:
Publisher
Springer Science and Business Media LLC
Subject
Geometry and Topology,Theoretical Computer Science,Software
Link
https://link.springer.com/content/pdf/10.1007/s00500-023-08547-5.pdf
Reference38 articles.
1. Ahmadi-Javid A (2012) Entropic value-at-risk: a new coherent risk measure. J Optim Theory Appl 155(3):1105–1123
2. Ahmadi-Javid, A. (2012). Application of entropic value-at-risk in machine learning with corrupted input data. In: 2012 11th international conference on information science, signal processing and their applications (ISSPA) (pp. 1104-1107). IEEE
3. Ahmadi-Javid A, Fallah-Tafti M (2019) Portfolio optimization with entropic value-at-risk. Eur J Oper Res 279(1):225–241
4. Ahmadzade H, Gao R (2020) Covariance of uncertain random variables and its application to portfolio optimization. J Ambient Intell Hum Comput 11(6):2613–2624
5. Ahmed D, Soleymani F, Ullah MZ, Hasan H (2021) Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution. Appl Math Comput 402:126129
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