OSUVA - Selaus tekijän "Zubchenko, Volodymyr" mukaan

Aineistot 1-1 / 1

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

      Mishura, Yuliya; Ralchenko, Kostiantyn; Zelenko, Petro; Zubchenko, Volodymyr (VTeX, 30.04.2024)
      article
      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 explicitly only for the normal distribution. ...