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

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Listed:
  • Yuliya Mishura
  • Kostiantyn Ralchenko
  • Petro Zelenko
  • Volodymyr Zubchenko

Abstract

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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  • Yuliya Mishura & Kostiantyn Ralchenko & Petro Zelenko & Volodymyr Zubchenko, 2024. "Properties of the entropic risk measure EVaR in relation to selected distributions," Papers 2403.01468, arXiv.org.
    • Handle: RePEc:arx:papers:2403.01468
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    References listed on IDEAS

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    1. Ahmadi-Javid, Amir & Fallah-Tafti, Malihe, 2019. "Portfolio optimization with entropic value-at-risk," European Journal of Operational Research, Elsevier, vol. 279(1), pages 225-241.
    2. Alois Pichler, 2017. "A quantitative comparison of risk measures," Annals of Operations Research, Springer, vol. 254(1), pages 251-275, July.
    3. A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
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