Addendum to: Entropic Value-at-Risk: A New Coherent Risk Measure
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This short addendum consists of two sections. The first provides proofs that were omitted in Ahmadi-Javid (J. Optim. Theory Appl., 2012) for the sake of brevity, and also demonstrates that the dual representation of the entropic value-at-risk, which is given in Ahmadi-Javid (J. Optim. Theory Appl., 2012) for the case of bounded random variables, holds for all random variables whose moment-generating functions exist everywhere. The second section provides a few corrections.
KeywordsChernoff inequality Coherent risk measure Conditional value-at-risk (CVaR) Convex optimization Cumulant-generating function Duality Entropic value-at-risk (EVaR) g-entropic risk measure Moment-generating function Relative entropy Stochastic optimization Stochastic programming Value-at-risk (VaR)
- 1.Ahmadi-Javid, A.: Entropic value-at-risk: A new coherent risk measure. J. Optim. Theory Appl. (2012), this issue Google Scholar