Search Results - subject:"entropic value-at-risk"

Exploring entropy-based portfolio strategies : empirical analysis and cryptocurrency impact

Giunta, Nicolò; Orlando, Giuseppe; Carleo, Alessandra; … - In: Risks : open access journal 12 (2024) 5, pp. 1-26

understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper …

Persistent link: https://www.econbiz.de/10014636599

Estimating historical downside risks of global financial market indices via inflation rate-adjusted dependence graphs

Choi, Insu; Kim, Woo Chang - In: Research in international business and finance 66 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014463360

Coherent measure of portfolio risk

Ardakani, Omid M. - In: Finance research letters 57 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014525068

Distributionally robust optimization based on kernel density estimation and mean-entropic value-at-risk

Liu, Wei; Li, Yang; Yu, Bo - In: INFORMS journal on optimization 5 (2023) 1, pp. 68-91

Persistent link: https://www.econbiz.de/10014292039

Empirical tail risk management with model-based annealing random search

Fan, Qi; Ken Seng Tan; Zhang, Jinggong - In: Insurance / Mathematics & economics 110 (2023), pp. 106-124

Persistent link: https://www.econbiz.de/10014282478

Risk measures computation by Fourier inversion

Nguyen, Ngoc Quynh Anh; Nguyen, Thi Ngoc Trang - In: The Journal of Risk Finance 18 (2017) 1, pp. 76-87

distribution, the authors calculate value-at-risk and expected shortfall. As for the calculation of the entropic value-at-risk, it … study to consider the computation of entropic value-at-risk, semivariance as well as expectile risk measure using Fourier …

Persistent link: https://www.econbiz.de/10014901899

Risk measures computation by Fourier inversion

Ngoc Quynh Anh Nguyen; Thi Ngoc Trang Nguyen - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 76-87

Persistent link: https://www.econbiz.de/10011653718