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

A. Ahmadi-Javid ()
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A. Ahmadi-Javid: Amirkabir University of Technology (Tehran Polytechnic)

Journal of Optimization Theory and Applications, 2012, vol. 155, issue 3, No 22, 1124-1128

Abstract: 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.

Keywords: Chernoff inequality; Coherent risk measure; Conditional value-at-risk (CVaR); Convex optimization; Cumulant-generating function; Duality; Entropic value-at-risk (EVaR); g-entropic risk measure; Moment-generating function; Relative entropy; Stochastic optimization; Stochastic programming; Value-at-risk (VaR) (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s10957-012-0014-9

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