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- Entropic_risk_measure abstract "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. This makes it a theoretically interesting measure because it would provide different risk values for different individuals. However, in practice it would be difficult to use since quantifying the risk aversion for an individual is difficult to do. The entropic risk measure is the prime example of a convex risk measure which is not coherent. Given the connection to utility functions already, it is an obvious choice for the constraints in utility maximization problems.".
- Entropic_risk_measure wikiPageID "28107702".
- Entropic_risk_measure wikiPageRevisionID "583007623".
- Entropic_risk_measure hasPhotoCollection Entropic_risk_measure.
- Entropic_risk_measure subject Category:Financial_risk.
- Entropic_risk_measure subject Category:Mathematical_finance.
- Entropic_risk_measure subject Category:Utility.
- Entropic_risk_measure comment "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. This makes it a theoretically interesting measure because it would provide different risk values for different individuals. However, in practice it would be difficult to use since quantifying the risk aversion for an individual is difficult to do.".
- Entropic_risk_measure label "Entropic risk measure".
- Entropic_risk_measure sameAs m.0cmb313.
- Entropic_risk_measure sameAs Q5380781.
- Entropic_risk_measure sameAs Q5380781.
- Entropic_risk_measure wasDerivedFrom Entropic_risk_measure?oldid=583007623.
- Entropic_risk_measure isPrimaryTopicOf Entropic_risk_measure.