A Dynamic Risk Form of Entropic Value at Risk

Axelrod, Allan; Chowdhary, Girish

doi:10.2514/6.2019-0392

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“…It provides explicit relations among different entropic risk measures, elaborates their dual representations and presents their relations explicitly. In [5] authors show that EVaR, which is not a dynamic risk measure in general, can be a finitely-valued dynamic risk measure for at least one value of confidence parameter. In [7] the concept of EVaR is applied to portfolio selection, and a new mean-EVaR model with uncertain random returns is established.…”

Section: Introductionmentioning

confidence: 99%

Properties of the entropic risk measure EVaR in relation to selected distributions

Mishura,

Ralchenko,

Zelenko

et al. 2024

Modern Stochastics: Theory and Applications

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Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was previously calculated explicitly only for the normal distribution. We succeeded to overcome these difficulties and to calculate Entropic Value-at-Risk (EVaR) measure for Poisson, compound Poisson, Gamma, Laplace, exponential, chi-squared, inverse Gaussian distribution and normal inverse Gaussian distribution with the help of Lambert function that is a special function, generally speaking, with two branches.

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Section: Introductionmentioning

confidence: 99%