Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123

Freddy Delbaen

arxiv: 1504.00640 · v1 · pith:JX22VLM2new · submitted 2015-04-01 · 🧮 math.PR · q-fin.RM

Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123

Freddy Delbaen This is my paper

classification 🧮 math.PR q-fin.RM

keywords riskentropicsometheoryahmadi-javidamirapplcoherent

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The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.

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Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123

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