Λ-EVaR defines a novel risk measure family with monotonicity, cash subadditivity, quasi-convexity, axiomatic characterizations, dual representations, and closed-form worst-case expressions under Wasserstein and mean-variance uncertainty.
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Lambda R{\'e}nyi entropic value-at-risk
Λ-EVaR defines a novel risk measure family with monotonicity, cash subadditivity, quasi-convexity, axiomatic characterizations, dual representations, and closed-form worst-case expressions under Wasserstein and mean-variance uncertainty.