Entropic Value-at-Risk: A New Coherent Risk Measure

Journal of Optimization Theory and Applications 2012 / 12 Vol. 155; Iss. 3

Entropic Value-at-Risk: A New Coherent Risk Measure

Ahmadi-Javid, A.
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Volume:
155
Language:
english
Pages:
19
Journal:
Journal of Optimization Theory and Applications
DOI:
10.1007/s10957-011-9968-2
Date:
December, 2012
File:
PDF, 666 KB
english, 2012
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