ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
By Hans Föllmer, T. Knispel. 2011
134 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Soil Science
View Paper: https://www.semanticscholar.org/paper/dcdfe7827ff867c62ec4c40893392664b7c79170
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In Finance
In Management Science and Operations Research
- Ken Goldberg
- Marek Petrik
- Anca Dragan
- Jerry Zhu
- Daniel S. Brown
- Sanjay Krishnan
- Eugene Wu
- M. Franklin
Citations in the corpus
- Policy Gradient Bayesian Robust Optimization for Imitation Learning (2021, result): “We experimented with entropic risk measure (Föllmer & Knispel, 2011), a continuously differentiable alternative to CVaR, but obtained similar results to CVaR (see Appendix B).”