Entropic Value-at-Risk: A New Coherent Risk Measure.

Amir Ahmadi-Javid

Published in: J. Optim. Theory Appl. (2012)

Keyphrases

decision making
risk management
minimum risk
risk assessment
retail banking
database
high risk
risk factors
information theory
stochastic approximation
risk measures
utility function
probabilistic model
mobile robot
metadata
portfolio optimization
risk averse
e learning
minimal spanning tree
artificial intelligence