Adjusted Rényi entropic Value-at-Risk
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DOI: 10.1016/j.ejor.2022.08.028
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- Ardakani, Omid M., 2023. "Coherent measure of portfolio risk," Finance Research Letters, Elsevier, vol. 57(C).
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Keywords
Applied probability; Convex risk measure; Coherent risk measure; Risk profile; Increasing convex order;All these keywords.
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