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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. 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 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, it can be used in utility maximization problems.".
- Entropic_risk_measure wikiPageID "28107702".
- Entropic_risk_measure wikiPageLength "3233".
- Entropic_risk_measure wikiPageOutDegree "18".
- Entropic_risk_measure wikiPageRevisionID "664887724".
- Entropic_risk_measure wikiPageWikiLink Absolute_continuity.
- Entropic_risk_measure wikiPageWikiLink Absolutely_continuous.
- Entropic_risk_measure wikiPageWikiLink Acceptance_set.
- Entropic_risk_measure wikiPageWikiLink Category:Financial_risk.
- Entropic_risk_measure wikiPageWikiLink Category:Mathematical_finance.
- Entropic_risk_measure wikiPageWikiLink Category:Utility.
- Entropic_risk_measure wikiPageWikiLink Coherent_risk_measure.
- Entropic_risk_measure wikiPageWikiLink Conditional_risk_measure.
- Entropic_risk_measure wikiPageWikiLink Convex_risk_measure.
- Entropic_risk_measure wikiPageWikiLink Dynamic_risk_measure.
- Entropic_risk_measure wikiPageWikiLink Entropic_value_at_risk.
- Entropic_risk_measure wikiPageWikiLink Expected_shortfall.
- Entropic_risk_measure wikiPageWikiLink Exponential_utility.
- Entropic_risk_measure wikiPageWikiLink Financial_mathematics.
- Entropic_risk_measure wikiPageWikiLink Kullback–Leibler_divergence.
- Entropic_risk_measure wikiPageWikiLink Mathematical_finance.
- Entropic_risk_measure wikiPageWikiLink Relative_entropy.
- Entropic_risk_measure wikiPageWikiLink Risk_aversion.
- Entropic_risk_measure wikiPageWikiLink Risk_measure.
- Entropic_risk_measure wikiPageWikiLink Time_consistency.
- Entropic_risk_measure wikiPageWikiLink Time_consistent.
- Entropic_risk_measure wikiPageWikiLink Utility.
- Entropic_risk_measure wikiPageWikiLink Utility_function.
- Entropic_risk_measure wikiPageWikiLink Utility_maximization_problem.
- Entropic_risk_measure wikiPageWikiLink Value-at-risk.
- Entropic_risk_measure wikiPageWikiLink Value_at_risk.
- Entropic_risk_measure wikiPageWikiLinkText "Entropic risk measure".
- Entropic_risk_measure wikiPageWikiLinkText "entropic risk measure".
- Entropic_risk_measure hasPhotoCollection Entropic_risk_measure.
- Entropic_risk_measure wikiPageUsesTemplate Template:Context.
- Entropic_risk_measure wikiPageUsesTemplate Template:Reflist.
- Entropic_risk_measure wikiPageUsesTemplate Template:Technical.
- Entropic_risk_measure subject Category:Financial_risk.
- Entropic_risk_measure subject Category:Mathematical_finance.
- Entropic_risk_measure subject Category:Utility.
- Entropic_risk_measure hypernym Measure.
- Entropic_risk_measure type Article.
- Entropic_risk_measure type Work.
- Entropic_risk_measure type Article.
- Entropic_risk_measure type Concept.
- Entropic_risk_measure type Field.
- Entropic_risk_measure type Occupation.
- Entropic_risk_measure type Page.
- 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. 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.".
- 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=664887724.
- Entropic_risk_measure isPrimaryTopicOf Entropic_risk_measure.