An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Amir Ahmadi-Javid, Alois Pichler
| Year of publication: |
September 2017
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|---|---|
| Authors: | Ahmadi-Javid, Amir ; Pichler, Alois |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 4, p. 527-550
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| Subject: | Coherent risk measures | Dual representation | Kusuoka representation | Ambiguity aversion | Orlicz hearts and spaces | Orlicz norms | Luxemburg norms | Lp spaces | Moment-generating functions | Cumulant-generating functions | Donsker-Varadhan variational formula | Large deviations | Relative entropy | Kullback-Leibler divergence | Entropie | Entropy | Theorie | Theory | Risikomaß | Risk measure | Soziale Norm | Social norm | Risiko | Risk | Nutzenfunktion | Utility function | Entscheidung unter Risiko | Decision under risk |