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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 setCoherent risk measureEntropic value at riskExpected shortfall

Broader (1)

Utility

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2020
2020
Entropic Risk Constrained Soft-Robust Policy Optimization
Having a perfect model to compute the optimal policy is often infeasible in reinforcement learning. It is important in high… 
2019
2019
Analysis of path-dependency in option value enhancement
Inspired by the market value enhancement concept of Conic hedging, we conduct an experiment to explore the contribution of path… 
2016
2016
A functional Itô's calculus approach to convex risk measures with jump diffusion
2016
2016
Risk Averse Stackelberg Security Games with Quantal Response
In this paper, we consider a Stackelberg security game SSG where a defender can simultaneously protect m out of n targets with… 
2016
2016
An ergodic BSDE approach to entropic risk measure and its large time behavior
This paper shows that the long-time behavior of the entropic risk measure (under both forward performance process framework and… 
2015
2015
On set-valued functionals: Multivariate risk measures and Aumann integrals
In this dissertation, multivariate risk measures for random vectors and Aumann integrals of set-valued functions are studied… 
2013
2013
Stochastic root finding for optimized certainty equivalents
Global financial markets require suitable techniques for the quantification of the downside risk of financial positions. In the… 
2012
2012
Two studies in risk management: portfolio insurance under risk measure constraint and quadratic hedge for jump processes.
In this thesis I'm interested in two aspects of portfolio management: the portfolio insurance under a risk measure constraint and… 
2008
2008
Efficient Importance Sampling for Utility-Based Shortfall Risk
The objective of this paper is to study the effect of efficient importance sampling (EIS) techniques on simulating the… 
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