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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

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  • Freddy Delbaen

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.

Suggested Citation

  • 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.
    • Handle: RePEc:arx:papers:1504.00640
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    File URL: http://arxiv.org/pdf/1504.00640
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    References listed on IDEAS

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    1. 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.
    2. 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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