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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 wikiPageLength "13073".
- Entropic_value_at_risk wikiPageOutDegree "48".
- Entropic_value_at_risk wikiPageRevisionID "675149448".
- Entropic_value_at_risk wikiPageWikiLink Borel_measurable.
- Entropic_value_at_risk wikiPageWikiLink Borel_measure.
- Entropic_value_at_risk wikiPageWikiLink Category:Financial_risk.
- Entropic_value_at_risk wikiPageWikiLink Category:Mathematical_finance.
- Entropic_value_at_risk wikiPageWikiLink Category:Utility.
- Entropic_value_at_risk wikiPageWikiLink Chernoff_bound.
- Entropic_value_at_risk wikiPageWikiLink Chernoff_inequality.
- Entropic_value_at_risk wikiPageWikiLink Coherent_risk_measure.
- Entropic_value_at_risk wikiPageWikiLink Complexity.
- Entropic_value_at_risk wikiPageWikiLink Conditional_value-at-risk.
- Entropic_value_at_risk wikiPageWikiLink Convex_function.
- Entropic_value_at_risk wikiPageWikiLink Decision_vector.
- Entropic_value_at_risk wikiPageWikiLink Discrete_random_variable.
- Entropic_value_at_risk wikiPageWikiLink Dual_representation.
- Entropic_value_at_risk wikiPageWikiLink Entropic_risk_measure.
- Entropic_value_at_risk wikiPageWikiLink Essential_supremum.
- Entropic_value_at_risk wikiPageWikiLink Essential_supremum_and_essential_infimum.
- Entropic_value_at_risk wikiPageWikiLink Expected_shortfall.
- Entropic_value_at_risk wikiPageWikiLink Expected_value.
- Entropic_value_at_risk wikiPageWikiLink Exponential_premium.
- Entropic_value_at_risk wikiPageWikiLink File:Comparing_the_VaR,_CVaR_and_EVaR_for_the_standard_normal_distribution.png.
- Entropic_value_at_risk wikiPageWikiLink File:Comparing_the_VaR,_CVaR_and_EVaR_for_the_uniform_distribution.png.
- Entropic_value_at_risk wikiPageWikiLink Financial_mathematics.
- Entropic_value_at_risk wikiPageWikiLink G-entropic_risk_measure.
- Entropic_value_at_risk wikiPageWikiLink Generalized_relative_entropy.
- Entropic_value_at_risk wikiPageWikiLink Independence_(probability_theory).
- Entropic_value_at_risk wikiPageWikiLink Independent_random_variables.
- Entropic_value_at_risk wikiPageWikiLink Kullback–Leibler_divergence.
- Entropic_value_at_risk wikiPageWikiLink Mathematical_finance.
- Entropic_value_at_risk wikiPageWikiLink Moment-generating_function.
- Entropic_value_at_risk wikiPageWikiLink Multivariate_random_variable.
- Entropic_value_at_risk wikiPageWikiLink Probability_distribution.
- Entropic_value_at_risk wikiPageWikiLink Probability_measure.
- Entropic_value_at_risk wikiPageWikiLink Probability_space.
- Entropic_value_at_risk wikiPageWikiLink Proper_function.
- Entropic_value_at_risk wikiPageWikiLink Proper_map.
- Entropic_value_at_risk wikiPageWikiLink Random_variable.
- Entropic_value_at_risk wikiPageWikiLink Random_vector.
- Entropic_value_at_risk wikiPageWikiLink Relative_entropy.
- Entropic_value_at_risk wikiPageWikiLink Risk_measure.
- Entropic_value_at_risk wikiPageWikiLink Stochastic_optimization.
- Entropic_value_at_risk wikiPageWikiLink Support_of_the_random_vector.
- Entropic_value_at_risk wikiPageWikiLink Tractable.
- Entropic_value_at_risk wikiPageWikiLink Value_at_risk.
- Entropic_value_at_risk wikiPageWikiLinkText "Entropic value at risk".
- Entropic_value_at_risk wikiPageWikiLinkText "entropic value at risk".
- 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 wikiPageUsesTemplate Template:Clarify.
- Entropic_value_at_risk wikiPageUsesTemplate Template:EquationNote.
- Entropic_value_at_risk wikiPageUsesTemplate Template:NumBlk.
- Entropic_value_at_risk wikiPageUsesTemplate Template:Reflist.
- 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 type Article.
- Entropic_value_at_risk type Article.
- Entropic_value_at_risk type Concept.
- Entropic_value_at_risk type Field.
- Entropic_value_at_risk type Occupation.
- 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=675149448.
- Entropic_value_at_risk isPrimaryTopicOf Entropic_value_at_risk.
