PROPERTIES OF THE ENTROPIC RISK MEASURE EVAR IN RELATION TO SELECTED DISTRIBUTIONS

By YULIYA MISHURA, KOSTIANTYN RALCHENKO, PETRO ZELENKO, VOLODYMYR ZUBCHENKO

Published 2024-03-03

Everscope rating

1436.3

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Analytical derivation. Problem types: Risk Management.

arXiv:2403.01468 · Paper rankings

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