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- Entropic_value_at_risk abstract "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 using the concept of relative entropy. Because of its connection with the VaR and the relative entropy, this risk measure is called "entropic value-at-risk". The EVaR was developed to tackle some computational inefficiencies of the CVaR. Getting inspiration from the dual representation of the EVaR, Ahmadi-Javid developed a wide class of coherent risk measures, called g-entropic risk measures. Both the CVaR and the EVaR are members of this class.".
- Entropic_value_at_risk wikiPageID "38521194".
- Entropic_value_at_risk wikiPageRevisionID "598859821".
- Entropic_value_at_risk date "February 2013".
- Entropic_value_at_risk hasPhotoCollection Entropic_value_at_risk.
- Entropic_value_at_risk reason "What inefficiencies?".
- Entropic_value_at_risk subject Category:Financial_risk.
- Entropic_value_at_risk subject Category:Mathematical_finance.
- Entropic_value_at_risk subject Category:Utility.
- Entropic_value_at_risk comment "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.".
- Entropic_value_at_risk label "Entropic value at risk".
- Entropic_value_at_risk sameAs m.0r3v06y.
- Entropic_value_at_risk sameAs Q5380784.
- Entropic_value_at_risk sameAs Q5380784.
- Entropic_value_at_risk wasDerivedFrom Entropic_value_at_risk?oldid=598859821.
- Entropic_value_at_risk isPrimaryTopicOf Entropic_value_at_risk.