An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Author:
Funder
Norway Grants (BE)
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s11579-017-0197-9/fulltext.html
Reference45 articles.
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3. Ahmadi-Javid, A.: Addendum to: Entropic value-at-risk: a new coherent risk measure. J. Optim. Theory Appl. 155(3), 1124–1128 (2012)
4. Ahmadi-Javid, A.: Application of information-type divergences to constructing multiple-priors and variational preferences. In: 2012 IEEE International Symposium on Information Theory Proceedings, pp. 2157–8095 (2012)
5. Ahmadi-Javid, A., Fallah-Tafti, M.: Portfolio optimization with entropic value-at-risk (2017). arXiv preprint arXiv:1708.05713
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