PROPERTIES OF THE ENTROPIC RISK MEASURE EVAR IN RELATION TO SELECTED DISTRIBUTIONS
By YULIYA MISHURA, KOSTIANTYN RALCHENKO, PETRO ZELENKO, VOLODYMYR ZUBCHENKO
Rating
1412
Battle Count: 85
Relevance
8/10
The paper provides analytical formulas for EVaR, which can be directly applied in risk management and portfolio optimization in quantitative trading strategies
Implementation Complexity
6/10
While the mathematical derivations are complex, the resulting formulas are relatively straightforward to implement, especially with libraries that support the Lambert function
Reproducibility
4/5
The paper provides detailed mathematical derivations and formulas, which should be reproducible given the necessary mathematical background
About this paper
Methodology: Analytical derivation. Problem types: Risk Management.
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