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Entropic risk measure
In financial mathematics, the entropic risk measure is a risk measure which depends on the risk aversion of the user through the exponential utility…
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Related topics
Related topics
10 relations
Acceptance set
Coherent risk measure
Entropic value at risk
Expected shortfall
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Broader (1)
Utility
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2019
2019
Analysis of path-dependency in option value enhancement
Zhanxu Liu
2019
Corpus ID: 209090221
Inspired by the market value enhancement concept of Conic hedging, we conduct an experiment to explore the contribution of path…
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2016
2016
An ergodic BSDE approach to entropic risk measure and its large time behavior
W. Chong
,
Ying Hu
,
Gechun Liang
,
T. Zariphopoulou
2016
Corpus ID: 182595888
This paper shows that the long-time behavior of the entropic risk measure (under both forward performance process framework and…
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2015
2015
On set-valued functionals: Multivariate risk measures and Aumann integrals
Çağın Ararat
2015
Corpus ID: 125213632
In this dissertation, multivariate risk measures for random vectors and Aumann integrals of set-valued functions are studied…
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