Entropic risk measure
id:
entropic-risk-measure-293-15032063
title:
Entropic risk measure
text:
In financial mathematics, the entropic risk measure is a risk measure which depends on the risk aversion of the user through the exponential utility function. It is a possible alternative to other risk measures as value-at-risk or expected shortfall. It is a theoretically interesting measure because it provides different risk values for different individuals whose attitudes toward risk may differ. However, in practice it would be difficult to use since quantifying the risk aversion for an indivi
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wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Entropic_risk_measure
date created:
date modified:
2024-01-05T10:30:12Z
main entity:
{"identifier":"Q5380781","url":"https://www.wikidata.org/entity/Q5380781"}
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fields total:
13
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13