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Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123 (1504.00640v1)

Published 1 Apr 2015 in math.PR and q-fin.RM

Abstract: The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.

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Authors (1)

  1. Freddy Delbaen
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