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most citedRepresentation of the penalty term of dynamic concave utilities

112 citations · 129 across the 20 of their papers we have counts for

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math.PR2015★ 1 cited

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

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.