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20112026
most citedA generalisation of the fractional Brownian field based on non-Euclidean norms

12 citations · 42 across the 35 of their papers we have counts for

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q-fin.RM2024

Properties of the entropic risk measure EVaR in relation to selected distributions

Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko +1

Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was previously calculated expl…