Entropic value at risk
id:
entropic-value-at-risk-293-15015615
title:
Entropic value at risk
text:
In financial mathematics and stochastic optimization, the concept of risk measure is used to quantify the risk involved in a random outcome or risk position. Many risk measures have hitherto been proposed, each having certain characteristics. The entropic value at risk (EVaR) is a coherent risk measure introduced by Ahmadi-Javid, which is an upper bound for the value at risk (VaR) and the conditional value at risk (CVaR), obtained from the Chernoff inequality. The EVaR can also be represented by
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wiki
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encyclopedia
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original url:
https://en.wikipedia.org/wiki/Entropic_value_at_risk
date created:
date modified:
2023-10-24T23:51:38Z
main entity:
{"identifier":"Q5380784","url":"https://www.wikidata.org/entity/Q5380784"}
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13
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