Entropic Value-at-Risk: A New Coherent Risk Measure

By Amir Ahmadi-Javid. Journal of Optimization Theory and Applications, 2012

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Approximate Models and Robust Decisions (2014, background): “…is a particularly controversial risk measure as it is widely used (written into official regulations) but is not coherent7 (Basle Committee, 1996, Artzner et al., 1999),8 violating subadditivity.9 This has motivated the 7Note that this is a different definition of coherence from Bayesian…”
Learning Models with Uniform Performance via Distributionally Robust Optimization (2018, background): “In contrast, the worst-case formulation (1) corresponding to the KL-divergence (k = 1) is finite only when the moment generating function of the loss exists [2].”
Ultrareliable and Low-Latency Wireless Communication: Tail, Risk, and Scale (2018, background): “EVaR is an upper bound for the CVaR and its dual representation is related to the Kullback-Leibler divergence [62].”
Fairness risk measures (2019, background): “, spectral measures (Acerbi, 2002), optimised certainty equivalents (Ben-Tal & Teboulle, 2007), & entropic value at risk (Ahmadi-Javid, 2012).”