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Addendum to: Entropic Value-at-Risk: A New Coherent Risk Measure

Author

Listed:
  • A. Ahmadi-Javid

    (Amirkabir University of Technology (Tehran Polytechnic))

Abstract

This short addendum consists of two sections. The first provides proofs that were omitted in Ahmadi-Javid (J. Optim. Theory Appl., 2012) for the sake of brevity, and also demonstrates that the dual representation of the entropic value-at-risk, which is given in Ahmadi-Javid (J. Optim. Theory Appl., 2012) for the case of bounded random variables, holds for all random variables whose moment-generating functions exist everywhere. The second section provides a few corrections.

Suggested Citation

  • A. Ahmadi-Javid, 2012. "Addendum to: Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1124-1128, December.
    • Handle: RePEc:spr:joptap:v:155:y:2012:i:3:d:10.1007_s10957-012-0014-9
    DOI: 10.1007/s10957-012-0014-9
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    Citations

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    Cited by:

    1. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, vol. 9(1), pages 1-20, January.
    2. Stephen Chan & Saralees Nadarajah, 2019. "Risk: An R Package for Financial Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1337-1351, April.
    3. Chen, Yu & Wang, Zhicheng & Zhang, Zhengjun, 2019. "Mark to market value at risk," Journal of Econometrics, Elsevier, vol. 208(1), pages 299-321.
    4. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    5. Ahmadi-Javid, Amir & Seddighi, Amir Hossein, 2013. "A location-routing problem with disruption risk," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 53(C), pages 63-82.
    6. Zhang, Yu & Tang, Jiafu, 2018. "Itinerary planning with time budget for risk-averse travelers," European Journal of Operational Research, Elsevier, vol. 267(1), pages 288-303.
    7. 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.
    8. Freddy Delbaen, 2015. "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," Papers 1504.00640, arXiv.org.
    9. Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019, January-A.
    10. Yu Feng & Erik Schlogl, 2018. "Model Risk Measurement under Wasserstein Distance," Papers 1809.03641, arXiv.org, revised Mar 2019.

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